To display a simple setup window you need to specify which components to display and of course the Install window

Setup setup = new Setup(); // Create the setup instance
HTMLComponent htmlcomponent = new HTMLComponent(); //Create the HTMLComponent instance
InstallProgressComponent installProgressComponent = new InstallProgressComponent(); //Create the installProgressComponent instance
htmlcomponent.load("<a>This text is displayed</a>"); //Set the html to display In the HTMLComponent
setup.open(new Setup.SetupBuilder() //Now build the setup
     .addComponent(htmlcomponent) //Add the HTMLComponent
     .setInstallComponent(installProgressComponent) //Set the installProgressComponent
     .setProgramName("My Application") //Set the Application name
     .setProgramVersion("1.0") //Set the Application version
     .build()); //Build and open the setup