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When I start the setup program, it runs normally until it tries to install the C++ redistributable. At that point, the C++ setup window hangs on "initializing". I have to kill the process, which of course interrupts the install.

The odd thing is that I can then start and play Magicmaker anyhow. The trouble is that it doesn't seem to autosave my progress. I played through the tutorial, started the first level, needed to go do something else and exited the game, and when I came back, I couldn't continue; the only option was to start a new game.

I'm not entirely sure that the two problems are related, but I can't rule it out. Any ideas?
This question / problem has been solved by triockimage
Make sure you run the installer and the game as admin - right click installer/game .exe and select "Run as administrator". Also, don't install it to Program files folder, but makea new folder, i.e. D:\GOG Games
Running the install as admin fixed both problems: many thanks! Now having fun. :)