1.well it looks like this is a problem with Windows....it seems to not want to open the installer.... might wanna try fiddling around with your registry, cleaning it, and just try and get that message translated, cause i know no japansese

but if you give me the translation, i might just be able to help you.
2. Did you already try and install FFXI and stop, or abort half way? because this happened to me once. I was installing Unreal Tournament 2003, and my system crashed, so it had to dump all of my mem to my HD, and then made a registry entry saying that the installation was unsuccessful. So when i tired to install it again, it said it is installed but not working, so for me cleaning out registry helped me out quiter a bit. Sorry i am of no more assistance.
::EDIT:: oh, i just saw the little warning box on the 1st pic, try reinstalling Windows cause that 1 Windows install file might be corrupt, or even missing "Msi.chm"