Is it the downloading the setup program that gives this messages or the running of it. Downloading is just copying it to a folder on your hard disk. Running it is running it to install the program. Makes a lot of difference.
This message - I assume - only means that the setup didn't succeed, so your system is not changed.
To solve this try if uncleaning by doing a system restore back to before you messed up solves the problem. If not, tell more about what "cleaned up" exactly means.
when I try to finish downloading a program like itunes, it says "Your system has not been modified".