There are many possible causes of setup problems. They should be on the MS website in the knowledgebase. There is even a special MS setup section in the new Visual Studio 6 version of the knowledgebase on the MSDN CD.

There are problems with long strings in any of the setup fields, not just long filenames, plus some characters cause trouble (I can't remember which now and I don't have the CD handy).

It's not just the filenames, unfortunately.