You might want to try John Dunning's "Fake Underline" commands:
With these commands, you can style the underline (thickness, color, etc.) and adjust the offset.
That's a bummer. You might try reporting your installation problem in the Comments of John's page. Be sure to indicate your operating system and FW version. John may be willing to post a link to the scripts themselves, to be downloaded and placed directly into your application's Configuration > Commands folder. Either way, If there's a problem with the installation package, he should be notified.
The beauty of John's Fake Underline commands is that they make an otherwise awkward process very simple and automated. However, if you're just doing a few bits of underlined text, you can create similar results by hand. Start with underlined text, then use the Line tool to trace the underline. (Hold the Shift key as you draw to keep the line perfectly horizontal.) You can use the Property Inspector to fine-tune the line's width (W) and X-Y positioning. Finally, select the text and remove the original underline effect.
The real question has to be why the default underline is so shoddy?! Fireworks supposedly allows you to "create beautiful designs for websites and mobile apps in a snap". When was the last time you saw murky, blurred underlines on a webpage (ignoring those old Flash sites you still see from time to time!)?
Sorry, rant over.
Didn't see this earlier, but it should install fine on CS5, since that's version 11. 8 was CS2. Make sure you're launching Extension Manager from the Commands menu, so that some other EM doesn't open.