I don't know anything about Eudora, but ... Many Win-compatible programs can be installed by opening Control Panel and using the add/remove software utility; but quite a few others have their own packaged installation scripts. A well-behaved one of these will actually use the Microsoft "runtime" installer, but attempting to "call" the installation from Control Panel instead of just double-clicking the install.exe file that the maker provides can sometimes give symptoms like you've described.
There should be a "readme" file (or several) of some sort in the download that may tell you for sure which method to use(?)
The suggestion that your "anti" software may be blocking your installation is also a good one.