First make sure you have the latest available version for your operating system.
In case of doubt, download it <a target="_blank" href=http://www.microsoft.com/ntworkstation/downloads/PowerToys/Networking/NTTweakUI.asp>here</a>
Next, installation is a little different from usual:
1) Download TweakUI
2) Doubleclick TweakUI.exe.
3) Four Files are unpacked to a folder you specify.
4) Find the file TweakUI.inf, and RIGHTclick it.
5) Choose 'install' from the context menu.
Subsequently you'll find TweakUI in Control Panel.
Good luck, Tony