Well, I don't know what I should tell...
I have the .php file in a folder called "multiavatar". When I go to setup.php (using both Mozilla and IE) it shows this page, normal so far I think.
http://koti.mbnet.fi/vilkku88/page1.JPG
When I click the "Next step" button, it shows a not found on IE and a 404 Path not found on Firefox.
My host has PHP so that shouldn't be the problem. I have CHMODded the folder and the setup.php file to 7777. If you need any more info, I'll be happy to provide it.