I really think the install program (and for that matter, other parts of the game) isn't very robust. Some people have no problem installing/running it and therefore assume it is all "the user's fault," but it seems that a lot of people are having issues.
I'm not sure what install errors other people are getting...I initially had an MSXML error with tryinig to install the game from a retail DVD. That went away after adding some windows updates for XP and I started getting the "Fatal Errors" instead. I mentioned that I got around those by copying the DVD files to the computer and then installing. This may not be a fix if you donwloaded the game, but it helped me out.
Good pickup on the demo. removal though!