Perhaps it is confused with where it's trying to find the files?
On XP the system installs to C:\Program Files\Sony\EverQuest
Do you have Vista 64 bit? If so that goes to C:\Program Files (x86)\Sony\EverQuest\
I don't know.. something to try though!
If you burn it to CD, I don't know if you have to edit the shortcut location, etc...
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