Have you installed/played osu! on the computer you are trying to use now in the past?
Try this:
Create 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.