It works on my system. I have W2000 (but that's barely relevant) and I've dragged & dropped the 2.5GB file from the DVD-ROM to the hard disk which had 2.8GB available.

I've also brought it to my hard disk via WinZip 8 (compresses to 2.3GB - a totally pointless thing to do!).

So:

1 How much disk space do you have available?
2 Is your hard disk FAT or FAT32?