It had take some time in this period of holidays but, in the end, Matrix and I can't find what is wrong. It must be a defective CD. Matrix said they will send a new one.
Thank you.

Well, it seems I have to wait for Matrix's help.
Nevertheless, thank you for the advices.

Well, I have tried but it seems it isn't enough.
Windows still says that the Setup application stopped working every time I launch the exe or put the CD1 in the computer.

There's no dumb question when trying to help.
I have well enough space on my hard drive for more than 10 Crowns oG.
About rebooting, I done it. And the setup application is on the list of authorized programs of my virus-checker, should it be enough ?

I have just received the CDs but it seems that the game doesn't want to be installed.
First the autorun doesn't work. And when I try to launch the CoGEEsetup.exe, Windows (Vista) says a couple of minutes later that the set up application stopped working.
Ideas, anyone ?