When executing "Setup.cmd" ou "Setup\Setup.exe" the application crash on initialization.
Debugging it with Visual Studio, the Exception was "Proxy Authentication Required".
 
Workaround:
Run Fiddler (the HTTP Debbuging Proxy)
; type Ctrl-R to open "CustomRules.js"
; in that file, find the function OnBeforeRequest
; add the following line inside it:

 oSession.oFlags["x-AutoAuth"] = "domain\\user:password";

; If specifying a domain, be sure to use a double-backslash instead of a single backslash.
 
With the workaround, the WATWP installation works.
 
This is a easily fixable ugly bug.