When you say "Adobe CS4", are you meaning the Creative Suite? Or do you mean Captivate 4?
If it's Captivate 4, I also have the same issue. I'm unaware of a resolution at the moment.
Assuming your setup is like mine, you should consider reporting this to Adobe as a bug.
I would suggest that you take a look at this post.Adobe Captivate Installation Issues on Microsoft Windows XP
It might be that you are encountering an issue with your Windows Registry.
Best - Mark