Windoze uses RAM much more intensely when loading than at almost any other time. So minor RAM errors which otherwise wouldn't be a problem can stop it in it's tracks when loading.
Is the CD scratched or damaged? Will it load on another PC OK?
If you serioulsy suspect the HDD. then download Ontrack's Data Advisor and run it (runs from floppy or bootable CD). That will tell you if there are any problem spots on your HDD, but I doubt that's the issue.
RAM is most likely culprit if it's in the middle of copying stuff, and not when it's detetcing hardware or anything.
See if you can try some other RAM just to install it.
Cheers
Mick