My guess is that it just downloaded the installer into your Downloads folder. Open it up and run that installer.
Yep, I looked in my downloads folder and there it was. Clicked on that, and it finished up. Brought up a little screen to type in my username and password. I copied and pasted them from the e-mail that they sent. Message comes up saying it is invalid. Tried it three times. No joy. This is frustrating. Everything I’ve read about PIA says they are great, I just can’t seem to get in to find out for myself, lol.