I've not had the problem myself but, maybe if you try using a Cab installer. There are lots of them around.
Have a look at
http://www.freecabs.de/ there are loads of useful applications here, but it's blocked by my current isp.
This is a cab installer that I found using google.
http://www.freewareppc.com/utilities/cabinstl.shtml
Hope this helps.
The Cab file should just be one file, looks like a blue filing cabinet. But sometimes it still looks like that before it has been unzipped.