Sounds like the 3.3.8 is a "portable" version or possibly the "Standalone" version of Electrum.
If you've already run the Windows Installer (several times by the sounds of it), then Electrum 4.0.9 should now be installed in "C:\Program Files (x86)\Electrum", so you can easily check and confirm if it is there.
When you right click the icon on the desktop that you're using to start Electrum, and select "properties", what is the "Target" that is displayed?

It should say:
"C:\Program Files (x86)\Electrum\electrum-4.0.9.exe"
Like this:

If it says something else, what exactly does it say?
