Follow through the set up to the Product Selection screen.
3rd: Choose the Solidworks Explorer/Workgroup PDM, and have Solidworks Explorer checked.
Then follow through the modify installation.
After Solidworks is done installing and restarts your computer, you should have a Solidworks Explorer shortcut on your desktop, and when you go into your Solidworks, the Zip2go Utility should work.
Side not, after creating a ZIp2go I had to refresh my Desktop to see the Zip2go files, and if this doesn't work, you will need to contact your Solidworks reseller.