Not much information, so I'm going to make some assumptions here. One, that you are on Windows XP and the other is that the install you are trying was downloaded in a Zip file.
If you're using WindowsXP while you can open Zip files as folders and see the contents in a normal explorer window, the files aren't uncompressed. So, while you see all the files, only Setup.exe is uncompressed to your temp folder when you run it not any of the other files in the archive. Of course, it then looks for the other files in that same folder (temp not the zip folder since it actually executes from where it uncompresses) and can't find them since they haven't been uncompressed and the setup fails. XP only uncompresses files when you access them from a zip archive or when you copy them out to another folder. Not when you open the zip archive.
You need to, if you are on XP, copy the contents of the ZIP file out to another folder. This will uncompress all the files and put them in one place so when you execute setup.exe all the files it needs are present when it looks for them in the same folder.
Hope that helps.
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