This can happen where the install program is run from a different account then the one Mercury Z39.50 Client will be used. The install program does not need administrator privileges to run as it makes no changes to any system files and makes limited use of the windows registry. Simply rerun the installation program from your normal user account and all should be fine.
You most likely need to adjust your firewall setting to allow Mercury Z39.50 Client to access the Internet. The solution depends on the sort of firewall you are using. If you are using a software firewall such as ZoneAlarm, Sysgate or Windows Firewall simply configure the firewall to allow Mercury Z39.50 Client access to the internet. You will probably be prompted to either allow or deny access when you try and search with Mercury Z39.50 Client. Otherwise you may be using a network firewall - most likely if your computer is part of network in a large organization. You will need to contact your network administrator. You may need to give them a list of port numbers to open. If so go to Databases and click on Port Numbers to get a list of port numbers that need to be open to allow Mercury Z39.50 Client to work.
You need to install MSXML 4.0 or higher. This can be downloaded from Microsoft's website.
It is a possibility if there is enough interest.
Users have informed me that it works well under Wine on Linux. A native Linux version is not currently planned.