I tried this for the first time, with no appdata folder. It offered to download the data, and spent about a couple of minutes doing so apparently successfully, but then it told me to install the data. The download panel also froze after about 15 seconds, but looking inside its appdata folder while it's doing all of that, it is downloading a file called 'rvgt_game_files_music.zip' (or something like that) and that continues to grow. Unfortunately, as soon as it's apparently downloaded fully, it's deleted, and a dialogue box saying 'please install the data' appears.
Edit: I did just try unpacking a zip file I'd obtained separately previously, and it did do a little renaming and patching and then started properly, as far as I can tell - I tried the first level until I was able to not finish last.