It might be you have an older version of the library that can't be updated for some reason, sometimes because FS9 didn't quit properly, and is still locking access to the dll. Another reason might be you are running with a user login without administrative rights on your machine.
Try to reboot first, without launching FS9, to be sure, then:
Look for the eSellerateEngine.dll file in the following folders:
\windows
\ProgramData\Esellerate (this folder is hidden by default, you need to enable hidden files in Explore to see it)
\YourFS9folder
If you find the eSellerateEngine.dll file in any of these folders, delete all its instances.
Then, run the installer again. At the end of the installation you should find the eSellerateEngine.dll placed by the installer in the C:\Windows, if you are running XP, or C:\ProgramData\Esellerate, if you are running in Vista.
If the dll is still not there, you can download the dll from here:
http://www.virtualisoftware.com/binaries/eSellerateEngine.dlland manually place it under C:\Windows, if you are running XP, or C:\ProgramData\Esellerate, if you are running Vista.