The setup program uses so called "custom actions" to install the service part of mail server. It involves an access to the Windows registry, and if your Vista has User Account Control (UAC) enabled, it will not like it, and throw an "Error no 2869".

The simplest solution is to disable UAC altogether. It can be done by going to Control Panel - User Accounts, and selecting Turn User Account Control on or off, then unchecking an appropriate box. After doing that, the computer has to be restarted.