Have you checked that the CD is not dirty/scratched?
Have you tried running setup application in compatibility mode?
 
http://www.microsoft.com/windowsxp/using/helpandsupport/learnmore/appcompat.mspx
 
(From that "Windows cannot open this file": is the file extension bin, cue, iso, mdf, mds?
In other words, is this legit game?)

Damn it man! Starcraft is one of the MOST compatible games in the game universe! Working on both Windows and Mac stations, having new patches almost every three months and it is just almost impossible that this game would not install or wouldn't work!!! From my old gamers experience (12 years)I have seen bunch and bunch of the games that had far more problems than this Blizzard perl! Maybe the game doesn't scores to be advanced in graphics but its simple game engine is SOLID AS CHROME and I have never seen such compatible and stable game ever! The same Command & Conquer Series have much more problems than Starcraft!!! So stop blamin' and start searchin' for problems internaly of for machine, because it seems that game CD as the previous guy just mentioned is scratched! Or its an illegal version of the game. Or you have problems with file extension verification and indentification...