I'm not sure what could be causing the issue, most people who have issues are using Vista or Windows 7.
Can you try following this video, it's for the Vice City version, but the process is the same for San Andreas. The only part you don't need to worry about is the compatibilty stages.
http://www.youtube.com/watch?v=jyaXgSMrQ6EAlso, when installing, make sure you temporarily disable any anti-virus/internet security software, just in case that is preventing the setup file from completing successfully.
Once you have completed the installation, make sure to download the latest source code for the mod, located here:
http://www.bttfhillvalley.co.uk/forum/inde...amp;showfile=79 before you extract to the directory where you installed the SA/and the Mod, firstly go to your SA directory, and delete the "cleo" folder. Then extract the source code zip file, once extracted, try running the game, with any luck it should run fine.
Good luck