Maybe I'm missing something obvious, but I cannot figure out how to open the setup.exe file. I search for it, but the only thing that comes up is the file to reinstall the game.

Just go the folder where you installed the game (for me, it was F:\Treasure Adventure Game), open it, and the setup.exe should be there, with a ship wheel (or whatever you call that thing) as an icon.

The Setup program can also be started from the program group that the GOG.com installer should have created in your start menu:

Start » All programs » GOG.com » Treasure Adventure Game » Setup

On Windows 7 and I think VISTA, you can right click the icon that starts the game and choose OPEN FILE LOCATION. You will find it that way as well.

Thank you.