CMAK extracting engine failed

I have an HP ML350 with Windows Server 2003 Standard. I have setup Routing
and Remote Access, and can connect to it by creating a custom connection on
my PC at home, (XP Pro, SP2). It works well, but when I try to create a
Connectiod using CMAK, the installer fails every time. Error message is:

CMAK extracting engine failed. It is most likely caused by low memory )low
disk space for swapping) or corrupted Cabinet file.

The PC has 500MB RAM, and 68GB of free space. There are no other programs
running when I try this, and almost everything in the HKLM\...\Run key is
gone.

I read something someplace about this in regards to OEM pre-installed OS,
but can't seem to find it anymore.

Any and all help is appreciated.