When looking at the connector logs, you see the following message:
PersistLocalConfig failure: Access to the path 'C:\Program Files\OpenDNS\OpenDNS Connector\Config.dat' is denied.
It means that the
config.dat and Config-init.dat files were created as read-only files.
This usually happens when the Setup.msi is run from inside the zip file (rather than extracted).
Please, make sure you do not run the Setup.msi from inside the zip file.