Are you referring to AutoHotkey Setup? Which version are you attempting to install? What is the exact message? (Note that you can Ctrl+C at any message box to copy the text.) The latest version shows one of two messages if it fails to initialize its user interface:
"Setup failed to initialize its user interface and will now exit."
This is only if you are running Setup after installing.
"Setup failed to initialize its user interface. Do you want to save the AutoHotkey program files? (You will be asked which folder to save them in.)"
In that case you can save the program files, but the .ahk file type is not registered.
In older versions of the installer, this failure can be caused by restrictive policies related to the Web Browser control and scripting. However, that should not be an issue with the latest version. I am not aware of any specific causes, except perhaps a corrupt Internet Explorer installation.