On my lovely Vista machine I recently downloaded the Adobe Flash CS3 30-day trial, extracted the files, double-clicked 'Setup.exe' and sat back and waited to be prompted for an install location.
I was shown the following for about 5 seconds and then it disappeared and nothing ...

... so I tried again, this time watching the process appear in the Windows Task Manager | Processes list ... and then disappear again ... hmmm
Eventually I tracked down the solution in the Adobe Forums and it turns out that the Microsoft JScript Library needs to be manually registered like so:
- Open a command prompt (run as 'administrator')
- Type: cd "%systemroot%\System32" and press Enter
- Type: regsvr32 jscript.dll and press Enter
- You should get a dialog box saying "DllRegisterServer in jscript.dll suceeded.", click OK
Now when you run 'Setup.exe' the installer will run successfully.