I could be wrong, but maybe you don't have the correct language pack installed? I've never seen those symbols in any file names before. It's always either straight Korean or Unicode. o.0
Make sure you're running the installer as administrator. Certain versions of Windows (Vista and beyond) are finicky about what programs put files where. (Could just turn off you UAC, though; it never told me anything was trying to access my computer unless I physically opened it anyway - most useless useful background process ever).
Could just be a corrupted download or faulty install. Have you tried installing a second time? If so, try re-downloading. =x
Either way, you don't need that silly data folder anyway. We work with GRFs. =p