Fast forward to 2020 I also have this issue, official copies through ESRI website, tried to different versions of ArcGIS (1.06 & 1.04) and same issue for both.
Generated message:
ArcGIS Coordinate Systems Data
Fatal Error
This program has got corrupted internal data: it will exit.
Please obtain a new copy
I don't believe it is a ESRI generated message, it is a Windows 10 generated one but reactive to the software. Out of the 14 download files for both 1.06 and 1.04 only one worked and for that it required desktop to finish the setup wizard.
I am going to try again, but honestly (and sorry for venting a little bit) the last 6 years each time I have tried to download/or update the ArcGIS license it is a pain and I count myself as fairly computer literate. ArcGIS is a smashing piece of software, invaluable in my work and a marvel of technology, but changing the software is a hassle every single time.