Things to check first:
- Make sure Windows Installer service is running. Set it to manual or automatic (doesn't seem to matter from what I can tell). Click Start if it is not running.
- Check the MSE installer log. Do a search for "return value 3".
If found, look at the previous lines and see if they give you a clue as to the issue. In my case it said "Windows Installer error 1716". So that lead me to the following fix.
- Start -> Run -> Regedit
- Navigate to HKLM \ System \ CurrentControlSet \ services \ msiserver
- Double left click on WOW64. Change 1 to 0.
- Close regedit and reboot the computer.
- Try Microsoft Security Essentials installation again.