Hickory: What are the exact names of the files you have, and are they both in the same folder with administrative permissions?
someguys: the files are "setup_baldurs_gate_ii_-_enhanced_edition_2.3.67.3_(hotfix)_(10672)-1.bin" and "setup_baldurs_gate_ii_-_enhanced_edition_2.3.67.3_(hotfix)_(10672).exe
Those are very long file names. That means if you also have them stored in long nested folders, or are trying to install them into long nested folders, the operating system may have trouble. For troubleshooting, create a new folder on your C: drive and call it simply 'Downloads'. Copy/paste both files to there and then rename them to:
setup_bg_ii_enhanced.exe
setup_bg_ii_enhanced-1.bin
Now try to install, but do a custom installation and install to C:\Games\
That will eliminate if there is a name length problem.