I would suggest that you make sure that you have the latest Adobe Air installed. Click here http://get.adobe.com/air/ to install.
What OS are you using? Then I would suggest that you try to install the Adobe Media Downloader again
Let me know if you are still having problems
I tried to do this as well. It says it installed correctly, but I cannot find it in my programs list. My OS is: Microsoft Windows 7 Professional
I installed it on Windows 7 as the default location shows "C:\Users\labuser\Desktop\Adobe Media Downloader\Adobe Media Downloader.exe"
So you can look for it there.
Let me know if you are still not able to use it properly
Apologies for the inconvinience.
The workaround to get rid of the tiny window is to close the downloader and delete the cache folder
WIN : C:\Users\<Username>\AppData\Roaming\com.adobe.px.Downloader.<some-number>
MAC : /users/<username>/Library/Preferences/com.adobe.px.Downloader.<some-number>
and then relaunch the downloader.
However this will start download afresh. You will have to login again with your Login email and password and download will start again.
Hope this helps