hodoj - When exactly do you get this error? When trying to download, or running the downloaded installer?
Do you have a drive F:?
If it is when you are downloading, you would want to look at the download folder path for the browser to make sure it is not set to F:\*.
What is your temp drive set to? When the installer first runs it will extract a bunch of files to your temp folder. If it was set to F:\temp and it did not exist, you could get a message like this...