I updated the installer. It now includes jpeg62.dll and python25.dll which were missing (thanks to the reporters on my initial post). I also included the glom and gda python modules. If I do understand things right, then installing Python and pygtk makes Python support in Glom automatically work with this. I tried this out by reinstalling Python into a different directory, which worked.
Again, if there are still problems with it, please tell me.
I installed the package just fine and got to the setup dialog for creating a glom file, but then the application crashes once I create the file. When I tried to open the file I just created it tells me it can't open the file and presents me with the setup dialog again.