There are no official support personnel here, but I can answer the questions and provide some guidance.
1. You won't be receiving a CD and even if you were, you would encounter the same error as the CD simply launches the installer that downloads the program to your PC.
2. The error you encountered indicates that the backup service failed to install. I don't know why that would be, but it may be due to a conflicting backup program or a problem with the supporting services for backup on your PC. If the basic troubleshooting steps outlined in the KB article linked in onemicro's reply does not help, please contact support.
How to reach support (FAQ) - http://forums.microsoft.com/WindowsOneCare/ShowPost.aspx?PostID=2421771&SiteID=2
-steve