This error usually occurs when running the MATLAB installer from the downloads folder. Depending on your system configuration, the MATLAB installer may not be able to write to this folder, this is usually due to permissions restrictions on the downloads folder.
As a workaround, move the file to your desktop and then run it. This will create a _temp_matlab_R20XXx folder on your desktop. The installer is contained within this folder.
This error can also occur when running the MATLAB web installer from a burned DVD. To work around the issue, create a folder on your desktop (or another temporary location on your computer and copy the entire contents of the DVD or downloaded files to that folder, and start the installer from the new folder.