Both times I have installed PVX it has worked nicely. The process I use is to first update your browser - I use IE 5.0. Then, make sure that the Java Runtime Environment installation goes smoothly. Then, when everything has been updated/installed without problem, install PVX.
Then, when you double-click on ProE file in explorer, it will open in an IE/Java window, provided you have saved the file AFTER enabling all of the config options necessary to do so:
SAVE_MODEL_DISPLAY shading_lod
SAVE_DRAWING_PICTURE_FILE embed
Good luck.
Recneps