Make sure that your computers TEMP folder is accessable and is not on another drive. also make sure the folder is not 'read only' and that it has sufficient space.
this problem occurs when the target directory (including the TEMP folder) has insufficient space for the setup files to be copied and decompressed.
1) check the above
2) if that fails: setup files could be corrupt. go back to hmv and exchange the copy. try again
3) see gendo's post
hope this helps...let us know how you get on