In order to install the game, you need to create the target director (e.g. C:\DARK) before running the installer.

Also keep in mind that the XP F.A.T. (File Allocation Table) format is set to NTFS, not FAT16 or FAT32 which is what WIN 95, 98, even DOS used. That is also partyly why you get that problem. Old tech games rarely work with new tech games. Yeah, a lot of games still work using the new F.A.T. system for XP, but then, explain why the following games have a hard time working let alone installing for XP...

Final Fantasy VII
Sim Theme Park
Earth Siege
Lands Of Lore III (Need SP2, SP1 makes it crash)
Command & Conqour Gold (Sorta prefer the DOS version)
Elder Scrolls:Redguard
Elder Scrolls:Battlespire

I will say, ever since Origin started making games for DOS, a lot of games have been so strict from memory issues (Some games hate the EMM386 mode, regardless if it's EMS or XMS mode) to the hard drive format issues. I remember that I had to remove EMM386 in order to make Ultima 8 work at all as well as Need For Speed.