There should have been another prompt with the file that has to be installed. If not, then most likely the installer doesn’t have necessary privileges to make changes on your environment. You need to explicitly run it as an administrator. You can do that by selecting "Run as administrator" from the context menu popped when right clicked on the OpenSpanStudioVS2015Setup.exe.
If that hasn’t fixed the issue, you need to create a support request for it.