My advice is to download the software again, but this time change the install procedure. Make sure the browsers are all turned off, then access the official website and download the latest package. Once you have the package, right click it and select Run as Administrator. Follow the instructions and then launch the software, again as Administrator. While the installation is underway, confirm the TAP Adapter's installation or the HotSpot Shield won't connect.
Download page: http://www.hotspotshield.com/
Also, remove any previous versions of the software installed in your computer.