Welcome to the forums,
They didn't send you different install files of the program.
- VSX4_Pro_TBYB.exe; this is a trial version, that requires an activation key. It would install the program.
- VSX4_Pro_PF.exe; Not real sure what this is, first time I've seen it. What happens when you run it?
- VSProX4_SP1.exe; This is the Service Pack/Patch, you must have the program installed before trying to run this.
- vsx4.zip; There could be anything in here.... So did you extract the files? If so what were the files?
When you purchased VS X4 did you purchase the download (ESD), box, or did you have the trial version and purchase an activation key? I would guess right now, since they had you download the trial (TBYB), you must have purchased it and not the full/upgrade ESD version.
Have you also tried right-clicking on the install file or Setup file and selecting Run as Administrator? With Vista and Win7 even though you may have 1 user account on your system, and that being an administrator, it is not the same. The security is setup so there is administrative permissions that you must invoke each time, or set it in the Properties for the file to run as an administrator.