Andrew is talking about the C:\Windows\Installer folder (that's the most likely place on XP). One of the tasks handled by Microsoft's Installer is to place the UN-installer in that folder. Normally you will see a much more descriptive error message. I can't tell if this folder is the problem or if there is something else going on.
There may be something relevant for you in this conversation:
http://www.pcreview.co.uk/forums/thread-2177352.php
-rick