When using Windows2000 Pro(NT5) and XP Pro operating systems with the network functions active, a very long temporary directory may cause a zip extraction error. Use a shorter 'Extract to:' directory name such as c:\temp or c:\windows\temp
If the error persists then change to your Temp directory and try running SETUP.EXE directly, if you think a file is missing then select just that file in the downloaded self extracting zip file and select extract. This file can also be opened and checked, to confirm it has not been corrupted during download, if you have another zip program on your PC eg WinZip, FreeZip, ZipCentral etc.