Maybe the PHP Script (which installs .htaccess etc.) fails in writing back the files.
Simply proceed to the securitiy folder, watch out for .htaccess, open it with any editor and see what is written inside. If there is no .htaccess or it is empty, you already have a clue that the security does not word properly. Of there is a .htaccess, but it does not contain the proper authorization code. Find it out!
There may also be a .htaccess in your document root (c:/xampp/htdocs). I never worked with this security script, therefore i dont know if it is working correctly.
You can provide the necessary configuration in .htaccess by yourself, if you dont know what to put there, read some tutorials about "Basic Authorization" in Apache, it is not so difficult to understand.