I see you've been playing for the past day, does that mean this issue resolved itself?
If it hasn't:
Try creating an osu! folder in whichever location you want osu! to be installed in. For example, if you want all of your osu! files to be located on your desktop, the path to your new osu! folder will be ...\Desktop\osu!
Move osu!install.exe into that new folder and rename it to osu!.exe, then try running it.