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You may consider moving the setup to a path that is not as long. Too long paths can cause trouble on some OS's.
Are you on a administrator account, a normal user account or something else?
I would just install in in the path
C:/program files/ enterbrain/ rpgmaker xp/ like normal, instead of how long you have it.
If not, try downloading it again, or contact enterbrain or try on a different computer; if the version you are using is purchased, DEFINITELY contact EB if you can't use it.