I work on the store, and would like to make sure that the files actually downloaded completely and undamaged for you.
Can you generate a checksum for the files you downloaded so we can confirm that your files are not damaged?
You can use a free utility called Fastsum ( http://www.fastsum.com/ ) to generate the checksum which should match these values:
Photoshop_12_LS1.7z should be 193b13bac6b850a62c75460cbed42b35
Photoshop_12_LS1.exe should be 431864652903c33049d352a9e0c0991b
Let me know what values you get. If they are bad, we could have you try the direct HTTP download URL and see if that helps.
I checked the checksums with the utility you specified and the checksums of my downloaded files match the checksums you specified. So, that implies to me, at least, that the files downloaded without corruption. I have attached a spreadsheet with my results.
So I guess that is one possibility off of the list.
Checksums.xls 18.5 K
If you are running Vista or Windows 7 you have to right click on the installation application and select Run As Administrator.