Hmm... Is it the installer (AKingdomForKeflings_Setup) that closes immediately, or the game after it's successfully installed?
If it's the installer, that's confusing and I'm not sure what could cause that...
If it's the installed game, you could try compatibility settings: find A Kingdom for Keflings.exe and right-click on it and choose "Troubleshoot Compatibility". Or, go to "Properties" and then the "Compatibility" tab.