Quote from one of the tech support forums:
A customer of our company had the same problem with his NT 4.0 and an old IE (2.0!!). After installing the current IE (6.1) , the installation of the jre was possible

You might try updating/installing IE as a last resort, otherwise, perhaps try installing an older version of JRE?

Regarding the other DLL file, I agree with what wymsie said, try downloading a fresh .dll file off the web. MSASN1.dll is usually located in C:/Windows folder -- you can always remove it later if it doesn't work.