I ran the MongoDB Community Version Download Setup with the GUI for Mongo - Compass checked. No problems with the installation and the setup was successfully completed.
I had an issue where MongoDB installer wouldn't work at all so I had to choose customize instead of the easy install. The location of the file for Compass should be in:
C:\Users\User_Name\AppData\Local\MongoDBCompassCommunity
as @Jonez said, mine is for the Community edition. Make sure you have your hidden files view enabled. On a side note, I encountered less problems when I used administrative capabilities.