It sounds like you may have somehow gotten the wrong download file. Try downloading from here:
Roland DGA Corp. - Support - Technical Support and Services for Roland Products
The "CutStudio CorelDraw Plug-in v1.10 for Windows" on this page will download a zip file named plugin.zip. Unzip that file and it should extract 10 files, one of which is PluginSetup.exe. That's the exe that you want to run and it should install everything where it needs to be.
If you still have problems, check the Readme.txt file extracted from the same download.
I hope this helps.