Are you trying to install this from a CD? Or from a file you downloaded from the Dell support site. If you are installing from a CD, what version of Systems Management is it? or if it is a downloaded file, what is the file name?

Thanks,

I downloaded it. The file name is 31148418.exe

This is an older version of Array Manager. I went to the downloads for Array Manager for a PE4400, and the link is not working correctly. You can download Array Manager 3.5 directly at http://ftp.dell.com/sysman/a350a02.exe. Before you install this version, you need to have the lastest PERC driver and firmware installed. If you have an Adaptec PERC, the versions should be 2.8.0. The PERC driver should always be updated before the PERC firmware. The BIOS should be flashed to a11, and the ESM should be reported as version 5.50 during POST. These updates are available for download under the system model.

Access denied error though shouldn't be caused by the version.  Make sure your logged in as admin and that there is a C:\temp folder and you have permissions for it.