You need to have at least one speech enabled language installed to use VoxCommando and Dutch is not one of them. (English, French, German, Spanish)
I generally recommend that you install VoxCommando into it's own folder somewhere easy to find, such as c:\VoxCommando, however you should be able to run it from my documents\VoxCommando without issues.
I don't have the means to test the install process on a machine that has no speech enabled languages on it so I don't know if this behaviour is normal, but it is not what I expected.
The reason that we don't use the standard install process is that this program is portable which has many advantages. You can have multiple side by side intallations simply by copying the folder to a new location. All of the commands and settings are contained within the folder so you can also keep a version on a usb stick and pop it into a new machine and it will be exactly as you left it (assuming the machine supports the language you are using, and ignoring potential licensing issues).
There are ways to install additional language packs on windows home premium 7 but they are not officially supported.
What version of VoxCommando are you using?