For Rithralas...
First (and obvious) question: When you complete the license activation wizard, is Hero Lab reporting that the license should now be activated and ready to go? Or is it reporting an error of some sort? I'm going to assume the former, since you wouldn't sound so frustrated and confused if Hero Lab reported an error.
There are only two ways I'm aware of that Hero Lab can *think* it successfully installed the keyfile - but didn't really do so.
The first (and most likely) possibility is that you have some sort of internet security software installed on your computer that is badly implemented. Since Hero Lab uses the built-in Windows API for accessing the internet, any internet security software you have will potentially block Hero Lab's attempts to contact the licensing server. A few such programs will intercept an internet request from a program and then *pretend* that the request was successful, telling the requesting program that the request worked fine while actually returning invalid data. Obviously, the proper behavior is to return a suitable error to the program making the request. If Hero Lab is told by Windows that the download is successful, it believes the return from Windows. But if the internet security returned bogus data, the keyfile is invalid and will not work when you restart Hero Lab.
You can verify whether a poorly written internet security program is stuffing things up for you. Go to the Tools menu within Hero Lab, then the Diagnostics submenu, and select Check Internet Connection. Do the diagnostics report any problems? If so, then you know the culprit and can hopefully get things reconfigured to allow Hero Lab to get through successfully. If you're not able to do so, post the diagnostic results here and we'll do our best to offer suggestions.
The second possibility is that Hero Lab is unable to successfully write the downloaded keyfile to the disk. I've only ever seen this happen once in 5 years. After you complete the license activation wizard, do NOT let Hero Lab restart. Instead, exit Hero Lab normally. Use Windows Explorer to navigate to the folder where you installed Hero Lab (which is "C:\HeroLab" by default). You should see a file named "hpkey.lic". Is it there? If not, you've got things setup in a way that Hero Lab is unable to properly save the keyfile to your computer. If that's the case, let us know and we'll try to figure out why that's happening and get things sorted out for you.
You should still be able to get Hero Lab up and running without the product being able to access the internet. You can use the Manual License Activation wizard and your web browser to complete the process. Use the wizard to generate the proper info file. Use your web browser to upload the info file to our server and retrieve the proper keyfile. Then copy the keyfile into place yourself. After that, you should be good to go.
Hope this helps....