Had you, by chance, installed VFP5 ontop of VFP3? If so, see this article:
PRB: Setup Wizard Error When Installing VFP 5.0 over VFP 3.0

>To All,
>
>I tried using the Setup Wizard (VFP5.0) for a simple application. Everything worked great except when I run SETUP.EXE on my distribution disk I get an error, "Setup is not intended for this version of Windows" and that's as far as I get. I've tried it on two Win95 machines which includes the one I run VFP on. If Setup doesn't like Win95, what could it possibly want?
>
>Thanx,
>
>Allen