Ok, to make a short story long, my pc got hit by lightning and I had to replace the motherboard. I also went ahead and got a new (faster) HD.
Now I'm reinstalling everything from scratch.

I load up the install DVD, the menu pops up, I select "Install", and instantly I get an error dialog box.
The info given is:

Error Code: -5004 : 0x80070002
Error Information:
>SetupDLL\SetupDLL.cpp (3085)
PAPP:Fallout 3
PVENDOR:Bethesda Softworks (http://fallout.gamesas.com)
PGUID:974c4b12-4d02-4879-85e0-61c95cc63e9e
$11.0.0.28844
@Windows Service Pack 2 (6002) BT_OTHER 0.0

Is there something I've forgotten to install first, or what?

"5004" is a Windows code, not Fallout. Research it on the Microsoft Advisory sites.