Paul --
Just downloaded from VFPX into a fresh folder, double-clicked on Thor.APP, all worked as expected.
Hard to guess from here what is different on your system.
Umm, what version of Windows? Have you installed into that version of Windows before? (wild stab)
Apparently, re-running Check For Updates has no effect also?
(This was reported once before, solution that time was to ignore instructions on Thor home page and dbl-click)