It will crowbar the process. When you doubleclick on a file, Windows will try to run it, somehow. If the file you click on is _not_ an executable (for example, your WOx files), then Windows will boil some tea leaves, consult the registry, pull up a few blades of grass and drop them to see which way the wind is blowing, say three Hail Bills, consult the nearest gnome, and then categorically refuse to run whatever executable is most likely to be responsible. In other words: clicking on a data file is probably going to be a lose.
If, on the other hand, you doubleclick on a file with a .exe extension, Windows will (usually) believe you, and fail to screw up; which is to say it will actually run that application. Usually. Most of the time, anyway. Can you tell I'm a UNIX guy? I got yer freakin' registry right HERE... I could eat a handful of sand and _puke_ a better operating system.
Disclaimer: No animals (or sand, for that matter) were harmed during the previous rant. Yes, I do use Windows anyway, with only minor grumbling and the occasional uncontrollable outbreak of coruscatingly homicidal rage. (;-)
Whew. I'm all better now. In any case, if you have a file named (and I quote) "Setup_PC_<your_product>_V51R1_Update.exe" (where <your_product> = either "VST", "VST32", or "VST_Score"): then doubleclick on *that* file, and no other.
If you don't have that file, then go back to
ftp://ftp.steinberg.net/download/pc/Cubase_VST/Cubase51x/51r1/ and get it. It is the key to your installation. Also, check to make absolutely sure that _<your_product>_ is correct on all the files that you have: their web site is very badly laid out, and I can imagine that it'd be relatively easy to get some incorrect files. You should have .WO2-.WO8, and the .exe, for a total of 8 files.
After that (and changing the .WOx extensions!), it *should* work painlessly...