When I ran the game, I got a black screen, asking me to direct it to the nexuis folder, and a bunch of console errors (that I was not able to copy with condump)
So I present you this screeny.

So, then for debugging, "sav" from IRC had me rename my data/data20080511.pk3 to a zip file, and open it up, to see if it was corrupt.
It opened fine, and all the files the console told me it was missing, were there.

Stumped.
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Resolved when sav told me to try navigating to "nexuis.exe" with the command prompt. It ran perfectly.
This is just to help anyone else who may also have this problem, and also to open the door for anyone who knows why it is acting so stupid from explorer?