I've noticed several cases where people are unable to install Expression Web.  Here are some steps you can take to attempt to fix the issue.

1.  Check the application log to see if there are any errors specific to Expression web.  The file is EXPRWD.EXE.  This can give you good search terms at least to enter online to search for a solution.  Often times if you are being denied access to a registry key it will show the exact key in the message.  Now you could edit the permissions on that specific entry.

2.  Run the Windows Installer CleanUp Utility. Remove all instances of Microsoft Expression Web if they exist.  http://support.microsoft.com/kb/290301

3.  Perform a clean boot.  This will stop any third-party programs from starting up upon a restart which may be causing the install problem.  Programs like registry cleaners or Anti-Virus programs can cause installation problems.  To perform a clean boot follow these steps.

2) In the Services tab, click "Hide All Microsoft Services" and click "Disable All". 
3) In the Startup tab, click "Disable All". Click OK. (This will temporarily prevent third-party programs from running automatically during start-up.)
4) Restart the computer and try to install Expression Web.

4.  Another possibility is that the disc is corrupt.  Download the trial version and try to install to rule this out.  http://www.microsoft.com/expression/

5.  This KB article can possibly fix the install issue also.  Follow the instructions in the KB, restart and try to install again.  http://support.microsoft.com/kb/928218