Then I've got no clue what to tell you.
Personally, I am running Kaspersky Internet Security (so Windows Defender and what not is off, since they're replaced by that)
When I double click the installer, it takes some time to load (since it's being scanned by Kaspersky), and then it shows up.
So if your computer is slow-ish, or your harddrive is slow-ish, that might make it take longer to load the installer for you.
You should be seeing the installer shown in the Windows Task Manager, while it's being scanned too. To give you an idea that it's starting.