One of my colleagues in support has ventured under the MSMQ spotlight with a post about a permissions/UAC problem preventing installation on Windows 2008:
If you do bump into this problem then the workaround should get you up and running again.
Note: there is still going to be an underlying issue with the security on the machine which the workaround is getting you past. Therefore it would be a good idea to review any changes that have been made to the default permissions on the various directories. For example, has a policy been rolled out that is supposed to tighten up security by removing or limited accounts on the root or Windows directories? Microsoft does take security seriously and every Access Control List has been reviewed a number of times before being signed off into the final product. So if you see some default setting that looks insecure this probably isn't the case and changing it - unless documented as something to do - is likely to break things.