This kind of issue can occur when Windows, or some security software, takes a long time to scan a large executable before launching it.
Ideally, you should make sure that User Account Control is disabled in your operating system. To do this, go to Start -> Control Panel -> User Accounts and Family Safety -> User Accounts -> Change User Account Control settings. Move the slider to the lowest position ("Never notify") and click OK.
At the very least, launch the installer by right-clicking its shortcut and selecting "Run as Administrator". You should keep in mind, though that UAC can cause problems in a lot of applications, especially games, and therefore disabling it is preferable for most users in the long term.
If this doesn't help as well, you should also disable your anti-virus, anti-malware and, if necessary, your firewall software for the duration of the installation, to make sure that it doesn't interfere with the installer. To make sure that your computer does not become compromised because of the disabled security software (especially the firewall), please disconnect your Internet connection until you re-enable the security software.