i had the same problem. i was booting off of a ufs partition, and couldn't install wmp either - i got the same error. for unrelated reasons, i reformatted to hfs+ and reinstalled osx, and wmp installed without complaint.
it's not just a microsoft thing; mozilla won't run off of a ufs partition, either.
i suspect that it has something to do with ufs supporting case-sensitive filenames, but i have no proof....