This could be caused by one of two problems. You may need the library to run MSI files from microsoft.
Windows 95 or 98:
http://www.microsoft.com/downloads/details.aspx?displaylang=en&FamilyID=F1B7A5B0-611B-45A7-A06D-CADFF33E64DA
Windows NT4 or 2000:
http://www.microsoft.com/downloads/details.aspx?FamilyID=4b6140f9-2d36-4977-8fa1-6f8a0f5dca8f&DisplayLang=en
If that doesn't work you may want to try redownloading Spam Bully as it is possible it was corrupted during the install. http://www.spambully.com/download.php
Windows XP:
It is possible your MSI installer is broken. To fix it try this:
Go to Start/Run, and type
regsvr32 msi.dll
then
Go to Start/Run, and type
SFC /
All Windows Versions "Error 1335":
If you have an anti-virus application enabled during installation you may need to disable it during installation only. This is only if you are having the "Error 1335" error message.
If you are running Windows XP and have Norton Firewall on during the installation you may need to temporarily disble this during the installation only. This is only if you are having the "Error 1335" error message.