What error message is popping up? 9 times out of ten your issue is going to be security on the server. 2003 comes a lot more locked down then previous versions.
Who are you logged on as? Administrator? If not you can RUNAS administrator by right clicking on the setup file and choosing RUNAS and then selecting a valid admin account.
I am running Mcafee 8.5.1 on all my servers what version are you trying to run? I have also documented how to “<a href=”http://www.asktheadmin.com/2007/03/how-to-roll-out-mcafee-to-whole.html”>Roll Out” Mcafee 8.5.1 using active directory</a>. This might help as well.
Since you have mentioned the Windows Sever version which is 2003 SP1, there might be a problem with your antivirus software compatibility. To address this, make sure that your antivirus software is compatible with the version of Windows Server you are using. You might be installing another version of Windows Server or the Operating System itself to match their compatibility.