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It will tell you that it's installed, but it won't work yet. Navigate to the unzipped folder and go to BootCamp/Drivers/Apple If you downloaded the file above proceed to step 4.
You need the Apple Keyboard driver that comes in the Bootcamp 5, you can either download the full pack from Apple (version works), or download only the keyboard driver from my dropbox (64bit windows only):. So after using the solution from Zidad for the last couple of months (thank you) I decided to find a better solution to be able to use the Fn button and all the volume and multimedia functions of the Apple keyboard, here is what you need to do:
The new Keyboard driver on Bootcamp broke the connection for my keyboard under Windows 10 and it might break yours too.