Yes, the 32bit Windows download works for both 32bit and 64bit Windows systems.
Enter target coordinates as (strand)chr:start-end. The first nucleotide on a chromosome is at position 0. The end position is not inclusive.

If you wish PrimerSeq to automatically find flanking exons then only specify a list of target exons where each exon is specified on a different line.

-chr18:9562919-9563044

However, you may also specify the flanking exons for primer design. Follow the following convention to do this:

targetExon1,upstreamExon1,downstreamExon1
targetExon2,upstreamExon2,downstreamExon2

The target exon is followed by upstream flanking exon and then by the downstream flanking exon (separated by a comma). Remember to follow the same coordinate format for just the target exon case.
PrimerSeq requires the Java JRE to be installed on your computer. For Windows you can install the Java JRE from oracle. Mac OS X version 10.7+ no longer comes with Java pre-installed. For Mac OS X, you can install the Java JRE from here.
If you download a genome from UCSC it will likely be in a compressed .2bit format. You should use the twoBitToFa utility from UCSC to extract the FASTA file. You can find the utility for Mac OS and linux here.
You can examine the output of Primer3 in the file specified by the error message (located in the *PrimerSeq/primer3_log* directory). The Primer3 output may give you a clue as to why there was a problem (eg. GC content, product length). However, often adjusting the allowed PCR product lengths in the Primer3 configuration file will fix the issue. Press Edit->Primer3. You can edit the allowed PCR product lengths by changing the first parameter in the displayed file.
PrimerSeq only uses split-mapped reads to estimate relative abundance. Thus intron retention events may not have any reads to estimate the relative abundance of the event.
PrimerSeq assumes the first nucleotide in a chromosome is at position 0. The end coordinate is not inclusive. Strand information is provided as either + or -. A fictitious example is shown below.
-chr8:0-100
This example would therefore be the first 100 nucleotides on the negative strand of chromosome 8. If using the UCSC genome browser, subtract 1 from the start coordinate.
The length of loading files varies. The first time you use a FASTA, PrimerSeq will need to index the FASTA which may take several minutes. Subsequent loading for the FASTA should be almost instantaneous. Average sized GTF files generally take ~1 minute to load. Loading a sorted BAM file named with a .sorted.bam extension should be quick. If you use a SAM file, PrimerSeq will convert the SAM file to a BAM file and then sort the resulting BAM file. This process of converting from a SAM to BAM will take a considerable amount of time due to the typical large file sizes.
Specifying a genome and assembly is needed only for In-Silico PCR. You can find the designated "Genome" names in the "Genome" drop-down of UCSC In-Silico PCR. You can also find the "assembly" in the "assembly" drop-down in UCSC In-Silico PCR. For your convenience, the "Genome" and "Assembly" name of common species is below. You should type your species name exactly as it appears:
Genome Assembly
Human hg19, hg18, etc.
Chimp panTro4, panTro3, etc.
Rhesus rheMac3, rheMac2, etc.
Mouse mm10, mm9, etc.
Rat rn5, rn4, etc.