Hi
If I remember correctly, this is normal behavior. To configure Outlook client in CRM 4 and 2011 both, outlook should not be open.
And if it opens, Configuration package prompts to close the outlook. This prompts unfortunately looks like a error.
Did you complete your installation after closing the error. I guess it should complete fine.
Here is a general outlook installation.
http://www.youtube.com/watch?v=MXw3PTHe7lc
Though it doesnt include the error you are getting, but you can close the error and move ahead.