Make the directory that it says it can't find the source file in, then move the file to that directory. It's probably your data1.cab file so just move/extract that file to where the setup program is looking for it and try again.
The email doesnt come (from Bakaneko) for most people. Periodically try logging in with the details you registered with and after a while you should be let in.
Zone Headers...Actually it's most likely that the server was down. It does that to me too, another thing you might come across when the server isn't running properly is a blank 'Select Service' menu (where you choose/create characters normally).I think this server is still in beta stages so it might be weird running for a while.
How long did it take for you to be able to sign in? I think I may have misinterpreted the register form. Where it said user/pass I used one line for each... but I doubt that would matter. Unless it does. Bah this is lame.