I have not installed any Bitcoin version. So, I got the most recent installer (Windows .exe, version 0.8.1) using Firefox and downloaded it. I clicked through all the steps, using the default directory, and got to the install step. I got an odd dialog saying that the file could not be written (wut?):

So, I clicked "Retry". The dialog closed, and an identical dialog popped up immediately. After spamming the "Retry" for some time, I clicked "Ignore". An identical dialog popped up, with the only thing that changed being the name of the file. Identical dialogs popped up for each file that was to be installed.
(Picture coming soon)