Have you tried running the installer in Windows XP compatibility mode? Also, make sure you run the installer with administrative privileges. That should sort out your issue.
EDIT- You might also check the Solidworks support forums, some other people might be having your problem. I'm pretty sure running the program as an administrator in XP compatibility mode will fix it though.
So it occurs to me that SolidWorks 2009 is designed to be able to run on Windows Vista, which means running the installer in XP compatability mode is probably not necessary. My guess is you were running the installer with limited privelages, and it failed when it tried to write to the registry or something. By running the installer as an admin (Right click on the installer and select "Run as Administrator") you should fix your problem.
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