Punkbuster used on that game ? Always gives me trouble. Try simplifying your demands on audio and video eg EAX off. DXdiag shows directx OK ?
Tried this ?
Fixing Fallout 3 crashing, freezing and installation errors | Gaming News Link
Also someone suggested installing in root directory, not c:/programs.
Judging by the forums, it just crashes anyway !
Do you have Alcohol120 or anything like that for automatically mounting images ?