Before delving deeper into registry settings and the like, make sure that if you are running Windows Vista or Windows 7 you run the setup installer AS ADMINISTRATOR (right-click on it choose "Run as Administrator").
If that doesn't work:
Information from Microsoft:
This behavior may occur if certain dynamic-link library files (.dll files) are not registered correctly or if there is a firewall between the computer and the Internet that does not allow HTTPS (SSL) connections. RESOLUTION
To resolve this behavior, use the regsvr32 command to reregister several .dll files:
Some have reported that simply re-registering the MSXML3.DLL seems to fix the problem.
If that hasn't helped you may need to re-registered some more files:
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