unable to execute temporary directory

I am trying to setup an application but every time I double click the setup I get this error:

Unable to execute temporary directory. Setup aborted.
Error 5: Access Denied

I think I blocked something with CF but I tried turning it off and exiting the program and I’ve tried taking out the blocked setup.exe but I am still getting this error, how do I fix it?

Note that I am running XP MCE with all the latest updates and I have admin rights.