For those having this problem, apparently it is something with the exe Windows installer. Possibly it needs to be run as adminstrator; I didn't try that. I am on Windows 7 and kind of think the same may apply if you have the problem on Vista.
The solution I found is over on a German language posting, and is straightforward - so much so that they're rather short in saying what it is, which could pass you by. Hence I will explicate a little further. Aber, vielen Dank...
-- I would begin this process by being sure you're logged in as an Adminstrative user, which is also the user who will operate Xampp. Otherwise there may be trouble later with who owns and can run or access various things. Change your permissions for the install if you run Normal user permissions normally as a security measure.
-- Instead of downloading the installer, download the zip file. Unzip it where you want the xampp folder.
-- then open a command window, I suggest as administrator. Do this by bringing up the Start Menu, then typing command in the blank. In a moment, you'll see a program entry for Command Prompt (don't use any for 'command'). Right-mouse this, and select Run as Administrator, even though (and because) you are one.
-- using the command window, like a DOS window, navigate to the xampp directory you set up.
-- type setup_xampp and return, which will run the bat file by that name.
-- in a few seconds, the script will announce Xampp is ready to go.
-- from here, you can run the Xammp Control Panel normally from a Windows shortcut, etc.. It won't give the warnings, and it will allow you to start and stop server and database, etc..
-- At present and noted elsewhere, Admin for the database doesn't operate. Instead use the Admin button for the server, and click myPhpAdmin from the left-hand menu.
Hope useful to others.
Sehr schön, Oswald. Besten Dank.