Make sure you download and install with your Anti Virus software turned off/disabled.

The image makes me think that the StarterX.wav file is already there, or is in use, so you need to make sure that P3Dv4/v5 is not running when installing.
And you might want to delete the P3D\SimObjects\Airplanes\CS_B737-200 folder to make sure that any files being installed are not being overwritten, but is newly installing the file in that location.

Out of curiosity, which version of P3D is installed, and where is it installed?