I take it the installation does actually start, and this error appears some way into installation -- eg, looking at the "Setup Guide", you get the first few screens, and it's only after you press "Next" on the "Communications Settings" dialogue that the error occurs, ie in step 4 of the installation procedure? If not, at which point does the error occur?
Did you observe the note that any other USB modems must be uninstalled before commencing the installation process, and (if you are a Windows XP user) the note to ignore the found new hardware wizard?
How many times have you tried doing this? Does the same happen if you do a reboot and try again immediately afterwards?
Which version of Windows are you using -- if a "Pro or Server" version (2000 / XP / 2003), are you logged on with an Administrator's account?