We found the problem.
The "Regional Setting" prevent the installation to start
properly.
( We use a French version of Windows XP Pro with "Regional
Setting" set to "Français - Canada" )
If we place it to "English - US" the installation can be
completed with no error.
Maybe we can replace it to "Français - Canada" (or to
your specific settings) after the installation have
been completed.
Alors bonne chance à vous amis français !