Just so you know if you experience the same issue. I solved it; here is how in
WINDOWS XP:
I downloaded IE7 and didn't use Live update (ONLY download it from Microsoft!!!)
I shut down all anti-virus and anti-spyware programs, and first I removed all the protection for IE in Spybot Search & Destroy (anti-spyware). You mght have to turn your firewall off too if it monitors your local computer ("trusted zone", "localhost", etc.)
I restarted the system without the anti-virus and anti-spyware
I opened the file called ie7.log in C:\WINDOWS. This is the file where installation errors are logged.
In this file I looked for all the registry keys that couldn't be re-written by the installation process.
I launched regedit (any registry management software will be OK and if you want to know a really great one, with a long trial period but not free, look at jv16 from
www.macecraft.com )
I looked for each key IE7 isnatll ahs a problem with. They were in what ie7.log calls "HKCR", HKey_Classes_Root
For each key, R click on it and select Permissions (can be authorization in some versions)
Give admin permissions and system permissions
Restart Win XP
Install IE7; should work.
Restart and set up properly your anti-virus and anti-spyware. Better safe than sorry: scan your system immediately.