Have you tried "right-clicking" on setup and choosing "Run as Administrator"?
Also are you installing from DVD?
Gene - Thanks for replying so quickly.
Don't have a DVD, setup is half way through, haven't tried right clicking.
Won't I lose everything if I log out then back in?
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Exit the install. You would start over again won't hurt anything.
If that doesn't work, look at this doc. It may be a permissions issue.
If that does nothing, you might have to contact Microsoft support about this error. It could be a bad or missing file only they can fix.