It sounds like the game makers web page is down or you are not logged on during install and the game is set to connect at install to verify it's a legal copy . Check the instructions to see if the game requires an internet connection to install and /or work.
I assume you are not logged on to the internet. In this case definitely call the game maker. They might have just assumed all purchasers have internet connections.
If you are logged on and have a router and it is not set to DMZ this might be the problem or if you're at school or work they might have access blocked.
Sorry for posting twice, the first one didn't come up until after I did the second one, so after I had made the first post and it didn't show up, I figured something was wrong and decided to post again.
apparently the problem is caused by an incompatibility between the game's autoplay function and Internet Explorer 7. Try Start, Run, D:Setup (if "D" is your DVD drive). Installation should proceed normally. worked for me, hope this helps.