The WebLink and J-link installation options only copy the required files (libraries, headers, documentation etc) in the load point.
As for setting a j-link application to work within Creo you need to read chapter 1 of the J-link user guide: <load_point>Common Files\M010\jlink\jlinkug.pdf.
The message on the picture you posted is fairly generic. You may be able to find more details about what failed in the message message log.