AustinZ's suggestion about Classic View did the trick for me.

I'm actually installing on Windows 7, but was having the same issues described above. I had trouble installing under Windows XP SP2 Compatibility Mode, it would get to a certain part and just hang. I even let the installer run overnight (8+ hours), and the installer hung at the same stage (from what I could see in the install log).

Once I switched from my current display theme to Classic in the Control Panel, the install worked like a charm. To be completely honest, I also clicked the checkbox on the program properties that said to disable themes, so that may have also had an impact.