Please check the following items:
1.) Go to C:\Program Files\Blue Coat Systems\Client Connector\ and delete the directory if it exists.
2.) Open regedit and go to HKLM\SOFTWARE\Blue Coat Systems\Cloud Client Service\ and delete the registry key if it exists.
3.) Right click on the desktop and create a new shortcut for the command line. Right click on the command line interface and select "run as administrator". Change directories to your installer and run the installer. If it succeeds, then you have a rights issue and you have insufficient rights to install the software.
4.) If you continue to fail, run regedit and go to HKLM\SYSTEM\CurrentControlSet\Control\Network and look at the value of MaxNumFilters. The default value is 8. Increase this to 14 and save your changes. Run the installer from Step #3 above (run as administrator) and reinstall the software.
5.) If you continue to have issues installing the Blue Coat client connector after doing the steps indicated above, please contact Blue Coat Technical Support.