Hmm. One other thing you can try is in the Software Restriction Policies, right click additional ruleas, and then make a New path rule. You add the path where the setup.exe is, then select unrestricted below, Ok all the way and then reboot. Also, if it still doesn't work after restart, try again the right click, Run as.. and deselect Run this program with restricted access.
I'm doing all this on Web edition, SP2