axodraw4j.sty is not installed by this installer.
You have to download and install it separately.
The Windows .exe was built with NSIS, version 2.40 on Windows XP. The installer checks if Java is present but not for a LaTeX installation.
To install JaxoDraw using the installation wizard, double click on the .exe file and follow the on-screen instructions. Notice that in order to run JaxoDraw you must have both a working Java environment and a working LaTeX distribution (e.g. MiKTeX). The program may be installed without LaTeX and even without having Java installed but it won't run.