Cannot Install due to network credential error

Question

Whenever I try to install Expression Studio 4 Ultimate on my Windows 7 computer, I get the Windows Credentials dialog with the message: 

The network resource C:\<path to my downloads folder>\Expression Studio 4 Ultimate (x86) - DVD (English) (MSDN AA)\en_expression_studio_4_ultimate_x86_msdnaa_dvd_537046\Setup\License\Studio4PremiumWebSiteSpark\*.xrm-ms Cannot be accessed with the provided credentials. Please enter new credentials to connect.

What does this mean, and why is this error happening? This is quite annoying.

I also have WebMatrix 2 installed, as well as Visual Studio 2012.