Ok, let's try a couple of things...
Try running the SimConnect.msi file again, and then just afterward, look in the Event Viewer, in the Application section, and you should find an entry called "MsiInstaller". Double-click the entry and check the Description. If it worked ok, it should say "Configuration completed successfully." If you see an error there, from what I've been reading, it usually means that the C++ Redistributable isn't installed -- or at least that's one cause of it.
Also, try going to this directory in Windows Explorer:
Then look for a subdirectory in there that's named something like this:
And inside there, you should find one file named SimConnect.dll.
(If you're on XP, you'll probably find the "x86..." subdirectory near the top of the list inside WinSxS, but if you're on Vista, you may have to search a bit since there are so many subdirectories under WinSxS)
Next, go to this directory:
And then look for two files named like this:
Let's start with that and see how far you're getting.