Just gave it a try. On one machine, I ran the setup 1st before connecting the device. Works, no problems. On a 2nd machine, connected the GameShark cable 1st. Windows automatically detected and installed sometype of Blaze device. Connected the GBA, no errors. Ran setup to install the GameShark HW, again no problems.
One note, my 2nd machine was also a laptop. Directly connected to the USB port, it didn't get detected at all. But through my USB non-powered hub, it works flawlessly. And this was with 2 other USB devices connected to the hub at the same time. Go figure?
So the drivers are fine. It doesn't matter the order install the HW or SW. Does the light on the cable come on during the driver install? Guess you need to try a different PC. If same problem, bad GameShark cable?