I solved this. The download was for Visual Studio 2015. I was using 2022. In this I had to go into Visual Studio and add it as an addon.
Oh I have Windows 11 installed. Don't know if that matters.
I downloaded NORMA for Visual Studio/2020-05 CTP/NORMA_VS2015_2020-05CTP.zip I extracted it into a folder. I logged in as Admin. I ran SetupVistaOrLater it asked me which program to open with. I choose Microsoft Visual Studio. Then It gave me code in a window but never installed anything. Then I just tried Setup but it terminated without doing anything. I'll try to include both screenshots.