I also have the problem. I tried to browse all the events in the logs :
the solution seems to be that TFSSERVICE account cannot create a
temporary class file in C:\WINDOWS\TEMP (sometimes .NET does it when
you instanciate a XMlSerializer...).

Solution : grant Create/Write rights on C:\WINDOWS\TEMP to TFSSERVICE
account.

I wonder why there are not many users having this problem : probably
they all give admin rights to TFSSERVICE (though only TFSSETUP must
have admin rights).

When you do this, the setup ends correctly and TFS seems to work.