When you run FogBugz setup, if anything goes wrong during the main phase (in which you see a progress indicator), after the error message is displayed, FogBugz Setup gives up and rolls backwards.

There are command-line arguments to the Setup EXE program which can be used to ignore errors and continue anyway:

/ignoreiiserror will allow Setup to continue even if it can’t set up a virtual directory in IIS. You will need to create a virtual directory manually and map it to the FogBugz\website directory. Requires FogBugz Setup 3.0.5 or later.

/ignorepermissionserror will allow Setup to continue even if it can’t set permissions for the FogBugz account (that you specify during Setup) to access the FogBugz directory. You will need to grant full permission for the FogBugz account to access the FogBugz directory manually. Requires FogBugz Setup 3.0.7 or later.

/ignoreversionerror will allow Setup to continue even if it doesn’t pass the Windows version check. This can happen for FogBugz running on Windows 2003 in a different language so that the check for SP2 fails. Requires FogBugz Setup 6.1.11 or later.

/sqlserveronly will tell Setup to only install the SQL Server components.  This is useful if your SQL Server machine is a different machine than your IIS machine and they are not on the same domain. More details here.