Error 1334. 'zlib.dll' cannot be installed

Hello,

Every time I try to start Spywareguard (sgmain.exe), Windows tries to install Spywareguard (because it hasn't been properly installed yet ) and then gives this Error: Error 1334. The file 'zlib.dll' cannot be installed because the file cannot be found in cabinet file 'Data1.cab'.

I first thought it was because I used the minimal setup, but a normal setup can't avoid this problem either.

Anyone knows how to fix this? Thanks