These problems are usually due to bad file names, so the installer fails to find the files it needs.
I've come across two different scenarios:
1) Windows file systems don't support the file name of one of the files in the MUI archive. This is an irrelevant file, but the installer fails nevertheless. The solution is to modify the installer script or install from a partition with an Amiga file system.
(Since you're using OS 3.9 on an HDF I suspect this is not your problem)
2) The Unarchiver tool in OS 3.9 has bugs, and will sometimes replace the space character " ", with an underline "_", so that files called "Read Me First" end up being called "Read_Me_First". This confuses the hell out of the Installer.
Solution: you have two options. Either go through the unpacked archive and replace "_" with " ", or install lha to your C: directory and use that to do the unpacking of the MUI archive. I recommend the latter.