The full error that pops up reads like this:
Feature Transfer Error
Feature: Default Feature
Component: Fallout 3
Files: E:\data2.cab
Error: Data Error (cyclic redundancy check).
I run Vista, and as I've said, I've not had this error any other time I've installed the game. If anyone can help with this, or at least answer whether this is something that can be fixed or not and keep me from spending money on another copy, I'd appreciate it.