Thanks Grant, we resolved it a few minutes ago, you were very close. It is another Windows "security feature" that can make our lives miserable, and most people forget about it. When you download the MonoX installation, just right click on it and if there is a message "This file came from another computer and might be blocked to protect this computer." in the Security section, click on "Unblock". It is as simple as that.
Otherwise, you will be able to unpack the installation, but all DLL files will be blocked without further notice. Even worse, you'll get this totally misleading error message.