2 solutions
1)http://support.microsoft.com/kb/949140
click that link then click "Fix it for me" then try start the The Movie again. it should be work.
2)after ending "The Movies.exe" process in task manager you should try going into My Computer and open the in the Explorer, afterwards right-click on Setup.exe and click "Run as Administrator" and you should be good to go. The only hassle is the you'll always see the Library error displayed when the CD is inserted and read, after it's installed just end the process and then right click The Movies in the Start Menu and run as Administrator.