I experienced a likewise problem once and it turned out that something went wrong during the download. In other words, the installer executable got corrupted even though the file size was the same as stated on the web page. In an attempt to solve myproblem I downloaded the file again and it ran normally.
Also, if you download the JDK as separate files you must first chain them back together to 1 file. Follow the instructions on the SUN Java page carefully or you might also end up with a corrupted installer, resulting in the error message you stated...