This evening I downloaded the Microsoft Stirling Threat Management Gateway (TMG) product, the newest iteration of ISA to try out. I fired up a spare VM I had lying around and ran the installer. Strangely enough, the "installer" dumped setup files in a folder for me. I had to go dig for them and launch another setup. Good start! After clicking the install link it chugs along for a few seconds and comes back with Installation Failed. No reason, no explanation, nothing. How handy! I poked around in the log files generated by setup but nothing stuck out. I updated the machine completely thinking it was a .NET 3.5 SP1 deal or something along those lines. No luck.
I guess when all else fails, look at the system requirements, right?
I was trying to install on an x86 Server 2003 VM. Oops.