can't install firewall on Windows 2K Pro

I previously loaded the Comodo firewall on an XP Pro OS with no problems, So I decided to use on my 2K Pro OS desktop. I uninstalled my old version of Trend PC-Cillin, loaded Kaspersky 6.0, and then tried to down load Comodo. Everything proceeded as before except, when I clicked on the open file, the box disapeared, but the firewall never installed so that I could paste in the license key. I tried again from the confirming email link with the same results. I downloaded again but this time saved to a file and tried running setup.exe from that - same results. I uninstalled Kaspersky and tried downloading again and also tried running setup.exe from the saved file. The firewall install reminds me to disable any third party firewalls, which I don’t have, but when I click on ok to start the setup, it never installs. Any clues??

This is strange, I don’t know what may be going on, if you have completely uninstalled your previous firewalls then it should not be a conflict issue, maybe one of the other members will have more knowledge on this.

When I ran a scan with Kaspersky, it found a trojan called Invader. I am relatively ignorant about computers/software/hackers. Could someone have installed a firewall, or a program that has similarities, to hide itself or other programs?

Trojans and other malware often try to disable AV programs and firewalls.
You should run a couple of on line AV scanners to be sure that you get rid of all malware, and then download a couple of spyware programs like Spyware Terminator.
Run a deep scan with them as well and then restart your PC.
Do a registry cleaning with Easycleaner and/or CCleaner right after you have started your PC. Now you can try to install Comodo Firewall from a setup on your hard drive.