It looks like you're trying to run the installation without first fully extracting the installation files from the .zip file. As such, it's putting the installation files in your user profile's temp directory and therefore creating file paths that are too long for Windows to handle.

Try this:

1. First, cancel out of your existing
installation.
2. Second, fully extract the
installation files from the
Software_HP_UFT_12.00_MLU_T6510-15082.zip
file. You should now have a
directory called
Software_HP_UFT_12.00_MLU_T6510-15082
that includes the installation
files.
3. Rename this directory to something
shorter, like UFT12. Now, you
should have a directory called
UFT12 that contains all of the
installation/setup files within.
4. If this directory is on your Desktop
or a network location, move it
instead to the root of your local
C: drive. You should now have the
following directory with the
installation files on your machine:
C:UFT12.
5. Run setup.exe from your newly
extracted and located UFT12
installation directory.

Might be overkill, but this will ensure the location paths won't be too long.