Hi, I had the same problem and I just solved it using @Magickx method (see post: Spotify won't install). Here are some easy steps to follow:
1- Move your SpotifySetup.exe away from your downloads folder. For me it was at the root of another disk, but you can create a temp folder in your C:/ disk.
2- Browse in a new window : C:/Users/(your_username)/AppData/Local/Microsoft/Windows/INetCache
3- Run SpotifySetup.exe and as soon as it shows a download progression (2nd step), search for Spotify in the INetCache folder (you have approx 10sec to do it, when the download is over the file we're looking for will get removed)
4-You must find a file called SpotifyFullSetup.exe. You can only find this file while Spotify's downloading (fromSpotifySetup.exe), if the download's over you have to start it again and search again for the file.
5-Copy and paste this file into your C:/temp folder (you must have the 2 installers in there)
6-Now that SpotifyFullSetup.exeis safe from removal, you can run it and Spotify will install properly.