Did you download file called
FileFormatConverters.exe
If so have you run it to install it?
Also the support page for the pack says:
"Users of the Microsoft Office XP and 2003 programs Word, Excel, or PowerPoint�please install all High-Priority updates from Microsoft Update before downloading the Compatibility Pack".
I think this means the updates for Office, not just the Windows updates.
Go to this page and select "Office Updates" on the left and install al the latest Office fixes.
http://office.microsoft.com/en-gb/downloads/de fault.aspx