Things to make sure. MSDE or SQL is not already installed on the box, and no rememenants of it are out there. Errors can occur if previous versions of MSDE were on the box. Make sure that there is no "C:\Program Files\Microsoft SQL Server" folder on your machine.
Also, take a look at C:\MSDE2KLog.txt as it should contain information on the fatal error message you are getting, hopefully with more usefully info.