JSI Tip 0929. "Error Initializing the cache" while installing IE 4.x.

If you receive:

   Error Initializing the cache. Shutdown all programs and run scandisk   or chkdsk. Delete the cache, cookies and history directories in your   windows directory and then restart IE. If the problem persists   reinstall IE.

while installing IE 4.x, your probably already have Temporary Internet Files, Cookies, and / or History in your %SystemRoot% folder.

Delete or move these older folders. If you get a Sharing violation while trying to do this, check permissions, stop all non essential services, or boot to an alternate instance of NT.