See this post for the KB article to troubleshoot install problems - http://social.microsoft.com/forums/en-US/onecareinstallandactivate/thread/ba26b781-da18-4ce4-be8c-22647bd5d8fc/
How to reach support (FAQ) - http://social.microsoft.com/Forums/en-US/onecareinstallandactivate/thread/30400b52-7f26-4ba0-bc18-17e305329d90
Did you purchase by clicking Subscribe in OneCare or did you purchase by signing in at the OneCare web site? If the latter, click subscribe in OneCare and sign in with the *same* LiveID you used to purchase the subscription.
If you prefer to get a refund, contact support per the instructions in the FAQ linked above.
By the way, you posted to the Off Topic forum, so I moved it to the Installation forum. If you would have provided more information about what you did and what you encountered, the answer might have been more specific. "All the steps" and "not installed" doesn't tell us too much, unfortunately.
-steve
~ Microsoft MVP Windows Live ~ Windows Live OneCare| Live Mesh|MS Security Essentials Forums Moderator ~