There are multiple variants of this message. The important part is actually the part right after "Invoke operation 'FirstRun' failed".
An unsecured or incorrectly secured fault was received from the other party
During installation of the offline client, you get an error message similar to the following:
Check your clock
One of the possible reasons for this message is that your computer's clock is off by more than 5 minutes. This will cause certificate validation checks to fail while downloading components for the install. Check that your clock is correct, and fix it if needed.
Temporarily disable your anti-virus
Another possible reason for this message is your anti-virus software (Norton is the usual offender, most of the others are better behaved as far as I know) may be blocking the download of components during installation. Disable your anti-virus, then run the installer again. Don't forget to re-enable your anti-virus once the installation completes.
The decryption operation failed
During initial installation of the offline client, you get an error message similar to the following:
The offline client installer downloads additional components during the installation process that were not included in the installer package itself. An error similar to the above can often happen when you have a low-bandwidth or unstable Internet connection during the installation and it has trouble downloading the additional components.
Option 1 - Find a better Internet connection
If you have access to a location with a better internet connection (a library or a local Internet café for example) you can often try doing the installation there to see if it works better.
Option 2 - Create a self-contained installer package
You can download all necessary installation files to install on computers with slow or no internet access currently by following the procedure outlined at Creating an Offline Installer.