Once you have the battle_realms_zen_158_upd.exe file, follow these instructions carefully. Do not just double-click blindly.
Even with a clean download, things can go wrong. Here is how to fix the three most common errors. download+battle+realms+zen+edition+158+upd
The installer often defaults to C:\Program Files (x86)\Battle Realms. This is usually wrong for Zen Edition.
Change the path to: Once you have the battle_realms_zen_158_upd