I followed some installing tutorials on Youtube, they stated that you need to change your region to Japanese, and so I did. Then I went to configure the decimals settings, which I left it as it is because it was the same as the video wanted. After that, I downloaded the English version (0.4.18e) of UTAU setup from
http://utau2008.xrea.jp and ran it (I choose install only on this user and installed it at "C:\Users\[Name]\Documents").
After the setup the error above popped out no matter what I tried (running as administrator, troubleshooting, compatibility mode).
But yesterday I tried reinstalling the program but this time the setup program showed this

I only have a basic understanding of Japanese and couldn't make out what the message was. The program files which supposedly should be installed in "C:\Users\[Name]\Documents" wasn't there.