1. First have a look in Task Manager to see if there really isn't any Mozilla application open. If so, end it.
2. Then reboot and try again immediately without running any program (hope your browser isn't included in your startup)
3. Finally reboot into Safe Mode and install again (download it first without installing, just save it to your hard disk).
It's quite likely that one of these options works.
Whenever I try to download and install the Mozilla 3.6.12, I get an error message that says to to close any existing Mozilla applications, which I do. But it still tells me to close them when I do not have them opened. I have Windows XP.