Hi,
The SAS note http://support.sas.com/kb/40/012.html is very speficic to this error, which is caused by Java demanding more memory than is available. What is your machine spec? (paritularly how much RAM? and what version of Windows are you running?) Also, what else is running at the time?
I recommend closing any other applications you have open, check through the steps in note 40012 again, and try running setup again. If you still get that error it means you still don't have enought free memory. Check your system against the minimum requirements http://support.sas.com/documentation/installcenter/en/ikfdtnwx6sr/66390/PDF/default/sreq.pdf
Note that this talks about RAM *available to SAS* (i.e when it says "2GB available" it means 2GB *free* NOT 2GB *total*)
If none of that gets you working and your machine meets the required spec then this should probably be referred to SAS Tech Support so that they can take you through more diagnostics
Regards
Steve M.