Error Text -
Setup has encountered a problem while trying to copy:
Press Retry to attempt the copy again. Press Cancel to cancel setup.
After reading some forum (can't find the web page again!), I determined that it was probably related to the fact that Windows had decided to use my ext3 formatted hard disk drive (mounted locally using Ext2 IFS) to extract temporary files to, and this was causing some issues with the installer. The easy solution is to simply download the Visual Studio Express Editions DVD ISO (link here should work, if not Google for "Offline Install), and either burn it to a DVD and run the installer that way, or use a ISO mounting utility like Daemon Tools to mount it in a virtual DVD Drive.
Hope this saves someone a little time.