Yeah, I was referring to the
http://anthem.ath.cx/AnthemROFull2010.exe one (or alternatively one of the mirrors). Well, it is unlikely that the download is corrupted, since it usually says when it is.
So, did it work now? @-@
If not, well, this window didn't pop up yet, did it?

Also, you're German, yes? So, the User Account Control is called "Benutzerkontensteuerung", it's the thing that sometimes pops up, dims your screen, and says "Wollen Sie dieses Programm wirklich ausführen? Fortfahren - Abbrechen" or something along those lines. You can disable it when you click on the start button, and then click on your user picture.
If the full installer is not working for you, here's another possible solution:
1. Download
http://anthem.ath.cx/AnthemROMini2010.exe and install it.
2. Download
http://anthem.ath.cx/sdata.grf and save it in the same folder you installed the above mini setup to.
Then it should work. You won't have background music, though.