|Have you tried just hitting the enter key?|
Are you sure that Nero isn't still installed and just the desktop shortcut was removed? Look for Nero in Control panel> add/remove programs. If there is a listing for it there then click on it to see if there is a repair option. You can always back out if the only option is to remove.
If Nero is listed in add/remove then it is installed. You just need to find it. Look in My computer> C> program files.