If you were referred here by the Dawn Setup program, your system does not have Windows Installer on it. Once you have downloaded and installed Windows Installer run Dawn Setup again and it will proceed without errors.
Windows 2000, ME, and XP come with a new installer which significantly simplifies program installation. Dawn (4.5 beta 3 and up) now makes use of this new technology. If you do not have Windows 2000, ME, or XP you may or may not have Windows Installer on your system. The best way to proceed is to attempt the installation and download Windows Installer only if asked to do so.
Microsoft makes Windows Installer available free of charge. There may be a newer version available from Microsoft, but what you will find here is sufficient to install Dawn.
Download locally (2.0):
Or get the latest version from Microsoft (This will take you to a download page):