Are you logged into the Administrator account for your computer? If you have a family or shared computer, your account might not be allowed to make changes such as installing new programs. If you aren't, you should either set your account to 'Administrator' or ask the administrator of your computer (parent, or the owner of the computer) if they will allow you and help you install the game.

edit: Alternatively, if you are using Vista, you will need to right click on the program and select 'Run as Administrator'.

Hopefully he might have some pointers for installing it, try asking him.
If you run into more problems, just comment and either me or another member will try and lend a hand.