Thanks, it worked. It was my old friend UAC lurking in the wings. Actually, I checked "run as administrator" in my shortcut and it worked.
I used NirSoft's ZipInstaller and by default, it offers to create a Program Files folder. Since, it'll help me remember this lesson (and forget others), I suspect that I will create a "UAC Intimidated Programs" folder. When they are huddled together, they'll feel less intimidated. Also, it'll make it easier to select options like "Run when Windows starts."
Thanks again for the rapid response, John, Wizened Web Wizard Wannabe
"The significant problems we face cannot be solved at the same level of thinking we were at when we created them." -Albert Einstein