I poked around manually, and found the ddidownloader.exe in C:\Documents and Settings\All Users\Application Data\Hero Lab\data.
Seems like the manual needs to be updated.
What is mind-blowing is that I did a search of the entire drive for ddi*.exe, and it wasn't found. I'm assuming that the Application Data folder is hidden, thus preventing me from finding the file.
Of course, I have "show hidden files" selected, so it should have worked. I'm sure that Microsoft knew that I didn't really want to search that area, and helped me out...
Running it now. Hopefully I don't have the issues others have been having...