I have windows xp pro sp3 and downloaded it direct from your site. Even shut off any virus protection and anti-spyware software to be sure. I did it numerous times. This has never happenned before. It is like it never loaded the print drivers. It does not show up at all as a printer.
Please search our forum on how to install an alternative printer driver for the pdf24-creator.
It is possible that the printer driver which should be installed by the pdf24-creator setup couldn't be installed on your pc. But you can install a suitable printer driver manually.