Need a bit more information to help you or we're all shooting in the dark. How have you tried to install it? What error message if any do you get? If no error message what happens?
Make sure you have Windows XP Service Pack 3 as an operating system, that is a minimum requirement. You should also make sure your Windows XP SP3 machine has Windows Installer 4.5 installed. Windows Installer 4.5 can be installed from Microsoft's website.