We've had one person report an issue with installing on Windows XP, if you're running into this issue with the steam installer this may fix it for you.
Steam gets stuck when you run it for the first time and it says:
Performing first time setup...
Initializing: msiexec (step 1 of 1)
On WIndows XP, you'll need Service Pack 3 if you don't have it already:
http://www.microsoft.com/en-us/download/details.aspx?id=24
Then try installing the prerequisites manually:
DirectX 9.0c:
http://www.microsoft.com/en-us/download/details.aspx?id=34429
.Net 4.0
http://www.microsoft.com/en-us/download/details.aspx?id=17851
And XNA 4.0:
http://www.microsoft.com/en-us/download/details.aspx?id=20914
You may also need to run Steam as an Admin
http://steamcommunity.com/app/205100/discussions/0/864948299954203572/