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Generally I find firing up Task Manager and killing any installer-y related programs, and re-launching the game helps (setup.exe, msiexec.exe, etc).
Might want to make sure you have a recent restore point if you planning on doing this...just in-case it is actually doing something in the background.
Also, just try Alt+Tabbing a couple of times, once or twice I've found a window from the installer hiding out-of-sight.
If all else fails you can usually edit your Registry to bypass the First Time Installation process if you're sure you have all the prerequisites, or plan to install them manually.