Hi Ricardo,
The setup of Node.js rolls back due to an error (that's why the setup tells you that it didn't modifiy your system).
I assume your OS is Windows Server 2003 Enterprise (x86/32-bit version). First make sure you have updated your OS to the latest service pack 3. If oyu use a VM, make sure this one is updated too.
Open an admin command window and run:
msiexec.exe /log nodejs_setup.log /i node-v0.10.40-x86.msi
If the setup still fails after these steps, check the nodejs_setup.log file, it will probably tell you where the installer failed. If you don't see a clue in the log file, try the more verbose /lv nodejs_setup.log option instead (just run msiexec without parameters to see all the options).
Btw, keep in mind your OS is very old and unsupported anymore, please use a more recent Windows OS as you will very likely encounter problems once you start using native npm modules in Node.js that need compilation.
HTH,
Ward