Took me a while to find how to resolve this (first guess was an incompatibility between packages) but here is a simple first try in case you get the infamous "setup.exe has generated errors and will be closed by Windows".

1. Identify which package setup.exe is trying to install (ex: bash)
2. Go to /etc/setup/ and delete the file named (in our example) bash.lst.gz ; typically, you would not do this but the crash may be due to a corruption of this file.
   
3. Try again running setup.exe and upgrading