Same issue here. I am going crazy!
Please provide details about your operating system and what have you done that is not working. All you have said is you have downloaded it. The it you are referring to is that Lightroom 5 downloaded through your Creative Cloud Application manager? Did you run the installation package after downloading it? If so what happen did it run to completion but did not put an icon on your desktop? Or did the install fail, if so what error message was displayed.