I haven't seen this problem before, so it may take a bit of detective work. First, a few questions:
1. You meant to say "Excel 2007," correct? NodeXL requires Excel 2007; Word 2007 alone will not suffice.
2. Are you running Setup.exe from the Zip file, or Dnrd.msi? I ask because attempting to run Dnrd.msi instead of Setup.exe might cause this problem. ("Dnrd" stands for "do not run directly.")
3. Is the message you quoted above the very first error message that appears when you attempt to run Setup.exe?
4. Are you running Windows Vista on a Mac?