Thanks to Matt Reynolds who archives public newsgroups, I've finally found the solution to my install woes - http://dotnet247.com/247reference/msgs/26/130535.aspx. It seems that any directory under \Documents and settings\[user | All Users]\Microsoft Help (mine was named with a GUID) caused the install to fail. I moved the directory and the install works. Hoorah.
[Listening to: Stronger Than Dirt - Tom McRae - Just Like Blood (04:39)]