There's no stickx.com - you have to run stickx.cmd. The problem is you don't have the java run-time associated with jar files. Since jar files are a type of zipfile, when stickx.cmd tries to run the jar it doesn't invoke java but an unarchiver.
What you need to do is right click on the stick.jar file and select "open with .." from the context menu. Then choose the java run time to do the opening. Once you've done that doubl-clicking stickx.cmd should work fine.
On my Mac STICK was able to at least analyze the SD card... when I try running STICK from PC, it can't even analyze the card. Below is the pertinent portion of the STICK log.
"1 drives found
Drives: E
Analysing drive E
Checking access to device '\\.\E:'
Checking access to device '\\.\PHYSICALDRIVE1'
Failure checking device '\\.\PHYSICALDRIVE1' - error 5
testing E: bootable
Cards scanned - 1 cards found
STICK needs permission to analyse disk"