Did you try deleting the extracted files and running the setup program again? How about re-downloading the game? (though if the download itself was corrupt the error would more likely happen during extraction)
Do you have lots of room on your hard drive? You could run a ScanDisk on your c: drive (or wherever the downloaded file(s) got extracted).
You could try installing the game to a different folder (ie c:\games) rather than the default Program Files folder. You could also try running the setup program as administrator, and see if that helps (though this error doesn't sound like a permissions problem, etc).
A couple people had a problem with the Amazon version hanging for awhile extracting certain files, but it would eventually finish. Digital Copy install (amazon download freezing)
At least a couple months ago (according to the above topic) Amazon's downloader didn't have an option to verify files, but you could check if they list CRC or MD5 checksum values on their website, or something (if not their support should be able to provide them). Checking whether any official values match your download (using a program like Hash
to calculate checksum values for the files you downloaded) would let you know if the problem was the download itself.