Downloaded the Game, Files appear to there:

setup_pillars_of_eternity_2.0.0.1 (application file) 35,242 KB
setup_pillars_of_eternity_2.0.0.1-1.bin 4,096,000 KB
setup_pillars_of_eternity_2.0.0.1-2.bin 2,504,898 KB

Double click on setup, setup starts:

Select Language
Agree to terms, click Install and loading bar always stops about 1/10 of the way through.

Any help would be great.

Rookie mistake I guess.

Turned off AVG and it appears to have worked.

Haha lol. I never think about AV programs until something won't work. Glad you got it running :D