Hi Lex
That looks like you might have a damaged or failed USB stick. We check them before they go out but once in a rare while they do fail subsequently, please accept our apologies that you've experienced this. If you let us know a shipping address (please email it to support@eigenlabs.com) we'll send you a new one out today.
In the meantime you can download the software from here, if you would like to get going faster (and given the state of shipping here in the UK at the moment, this may be a good idea anyway). You will need to also download and install the media resources first, from here. This is quite large (on the order of 3GB) so you may wish to download it in the smaller pieces that the page offers, if you have a slow or less reliable Internet connection. You only have to install the media once on any given machine.
Could you tell me which retailer you bought your Pico from? It would be nice to know in case we have any more field failures from that batch of USB sticks.
Please don't hesitate to contact us again if you have any problems..
John