This annoying problem was introduced with CS3, and still applies up to the new CS5. The problem is that when you run the installer from a removable media, the installer is no longer dynamic and looks for all its installer files in a folder called Adobe CSx (x being 4 in your case). This directory must be located in the root of the media or the installer won't work. Judging by the screenshot, your full path is D:\Adobe Photoshop CS4 Disc 1\Adobe CS4. If you move the Adobe CS4 folder outside its parent folder (in other words, you need to have D:\Adobe CS4), everything should work fine then.