I think the setup files hosted on some SourceForge mirrors are corrupted.
Few days ago, I downloaded the setup files (without QT interface) at my work, and when I tried to install them home, it gave me an error "Setup files are corrupted".
I then downloaded the same file again at home, just to see if the download failed (although the file size was correct), with same error.
Tomorrow, I tried to get QT version, this time installation started, but it gave similar error about setup being corrupted when it tried to copy lazarus.exe to install dir.
I have just downloaded the non-QT install from other mirror (the one in Japan) and installation worked... The mirror I used before was Garr (not sure was this the mirror I used at home, but at work it was)