Okay, From the
Terraria topic I was having problems with installing the "First Time Setup". After that I tried to go and install the stuff myself. First the Framework XNA 4.0 .. Tried to download that...

Okay I go and look for the Framework 4 Client Profile..

Yaaaay
Also
It did the same thing it did with my terraria setup, It stopped loading at "Verifying SetupUtility.exe"
But wait
There is a log for it too!
