This technote mentions the same message, but refers to it happening after opening CCW, and not while installing it...
716058 - CCW Error: Cannot find one or more components. Please reinstall the application.
Access Level: Everyone
Also, in the case of the technote, it indicates that it is Microsoft Visual Studio Shell that is the component with issue. CCW installs this component. Your installation message is the same but does not display Microsoft Visual Studio Shell as the title for the message. Yours displays Connected Components Workbench, which is a little more vague. But again, your message pops up during installation and not later while opening, so perhaps this is why.
Still, I would add Microsoft Visual Studio Shell to the list of likely suspects here. You could attempt to manually reinstall Microsoft Visual Studio Shell from the CCW installation package, as instructed in the technote. Then attempt to install CCW again.
Another tip - Whenever you run into what appears to be external or third party software issues to the core software you are installing, then a perusal of the Windows Event Viewer is always a good place to start. It may have entries of interest...
Press: Windows+R (open Run dialog)
Enter: eventvwr
Press: Enter
Regards,
George