The download from the Atari site comes in the form or a self-extacting RAR, one .exe and then 8 .rar, sizes being 8x250MB + 85MB. When we extract it by using the first .exe or winrar itself, we get something that looks like the contents of a regular installation dvd, with autorun.* files, setup.exe, setup-*.bin, etc. It is when running this extracted setup.exe that problems occur.
@bsipe9: I am not very familiar with XP security, but it sounds like you are having problems authenticating as the "Administrator" user. I don't know where it is coming from, I have created my current user (not named "Administrator") when installing XP, and it is flagged as "Computer Administrator" (which gives him the right to "install program and access all files") if I go into Control Panel > User Accounts, yet I had to make a Run As "Administrator" to make the setup work, thank god it didn't ask for a password. You may want to google something like
xp administrator password.
Now, with the game installed, if I run the extracted setup.exe it opens an 'uninstall' dialog, as a regular user, not ran as "Administrator".
edit: forgot to add:
I don't really feel like uninstalling to try again, who knows what may happen

. But one may try a right-click on setup.exe, Properties, Compatibility tab, then try various options of "Run this program in compatibility mode for". There is no option to "unblock"., whatever it is that may need unblocking

.
Also, this setup.exe bears Atari's copyright according to the Properties window, so it's only fair that 1C sent me to them for debugging.