SYMPTOM
You receive the following error:
Cannot find D:\SETUP.EXE. Windows needs this file to run D:\SETUP.EXE.
CAUSE
There is a security feature of NT that involves deleting the file C:\WINNT\SYSTEM32\NTVDM.EXE.If this file is missing from your system, the above erroneous message is displayed.
RESOLUTION
The fix is to restore the deleted file. You can restore by simply copying the file from a system with the same Service Pack as the machine you are working on or reinstall the Service Pack.