Disk space causing installation failure
I received a wave of user bugs this week that come down to the SDK not having enough disk space to install. For the Feb CTP and all previous releases, the SDK needs about 1.5 GB of disk space for installation. We don't have the ability to select custom install locations yet (as a matter of fact, I'm due to create some mockups of such a screen so we can begin dev'ing against them.
In the meantime, if you have low disk space, I recommend you try one of these two alternatives:
Install to a different machine
Or when the Feb CTP releases, probably next week, there will be a web setup from which you can install only the components you choose. That way the SDK will take up less space on disk.