The HTTP404 means the page requested can't be found. The page could be a web
page stored on a remote computer, as John says, but it could be a page stored
on your own computer, or on a discette or CD or whatever.
The poster says he's trying to install programs that came with a magazine so
I'd guess the page he is looking for is on the media that came with the
magazine, a CD or something. Those magazine CD's can have errors on them,
they are pushed out quickly and don't get a lot of QA.
Check the address of the the failed page, if you can see it. If it says
something like D:\directory\index.htm or something like that, and the drive
letter corresponds to the drive you have the magazine media in, then just
browse that CD/floppy with Windows Explorer and look for simlarly-named .htm
files in the directory (or similarly-named directories), and try opening them
with Internet Explorer. You should find the main page the setup.exe seems to
be looking for.