This issue is caused when using a 64 bit version of Windows.
I fixed this issue by doing the following:
Rename the file OLE2.DLL to something else in the folders Windows\System32 and Windows\SysWOW64.
Install Legacy, which will then complain about registering the CodeJock components.
Copy the files Codejock.*.ocx from Windows\System32 to Windows\SysWOW64
Install Legacy again. This time it will work.
You can rename the OLE2.DLL files back now if you want.
A good explanation of the registration issue is here: