Not all commercial downloads are illegal, if you buy it from joygp, you get a zpk archive.
AFAIK the European Beta Firmware had some linking problems, try to update to the final one.
Also, you could try to extract it using the FPK Extractor and copy the files manually on your GP, though I have no idea if it works with zpk files.
But I THINK it works, cause I have Pinball Dreams and Super Plusha, and never installed anything using PC-Link, always using my Card Reader.