I'm pretty sure that file is supposed to be part of the download you get from Adobe.
When I downloaded it and ran the installation program, the first thing that came up was a window announcing that it was installing MS Visual C++ redistributable x64. After that, it installed the LR files.
Try downloading the original installation package again.
I downloaded mine to a new dirsctory, and the installation directory contains two files and four subdirectories. The subdirectories are called "deploy," "packages," "payloads," and "resources," and the two files are "Lightroom 6 ReadMe.pdf" and "Set-up.exe."
I ran Set-up.exe and everything loaded fine one wrinkle: I did have to sign in to my Adobe account, which would not accept my password as cut-and-paste, so I had to type the silly thing in by hand.
I hope this helps.