C36? I assume you mean CS6? The "CS" stands for "Creative Suite"
Did you try running the file called Set-up? That's your key to Adobe Photoshop nirvana.
Edit: From re-reading your post I guess you did.
Have you tried accessing the Photoshop download site with a different browser? Maybe your current browser is blocking it.
By the file called "Set-up" I assume you mean the red box with the Adobe Logo on it. I have clicked it a million times and it makes me re-download it. all there is in that one file is Deployment, packages, payloads, resources, and the red Set-up box.
Assuming you're on Windows, that Set-up.exe is supposed to get right to he job of installing the software - it's already downloaded when you see that. Something is blocking the installer from running. Have you rebooted recently?
By the way, you should configure your folder properties to show you file extensions - that makes Windows less confusing.
Just to make sure we're looking at the exact same folder structure, the folders/files shown here (in the right pane) are what you're seeing?
This will mean you have to go through another download, and I know that takes a long time, but I'd suggest deleting all the downloaded files off your system and start afresh direclty from the Adobe site download page. Something in the files you have on your system sounds corrupted to me.