"Setup was unable to create the directory "C:\documents and settings\utente\is-9M3IV.tmp"
"Error 5 : accesso negato"
Something is wrong, either with your permission settings, or the Windows system variable that points to the default temporary folder, which should be %TEMP%, is either wrong, or is pointing to an non-existing folder.
In fact, it shouldn't even try to write to c:\Documents and settings. This looks like the installer is trying to use that folder, because the normal one can't be accessed, because it's usually (under XP) in C:\Documents and Settings\utente\Local Settings\Temp
In any case, something is very wrong because, BOTH folders should be ALWAYS accessible, regardless of permission, since they are both located into your user account, which you should always have permission to write.
I've been downloading some hundred of various software for more than a decade, but this is some new kind of problem I never encountered before.
No, it's surely a problem of your system, any software that will try to access the default Windows temporary folder will have the same problem.
Maybe a corruption of the files?
No, because the installer has self-integrity checks, so it will issue a very different message, if the downloaded file was corrupted.
In any case, it would't hurt downloading the file again. But you have to CLEAR YOUR BROWSER CACHE, otherwise you will keep getting the same file over and over, even if you retry.
Have you tried running the setup as Administrator, instead ? And, as I've said before, reboot Windows before trying, because the folder might be locked if you launch the setup twice.