That's an isntaller of some kind,, can you open SpalshScreen or Watermark?
This may give some indication as to what it is.
Do you have any portable applications? Or ThinClient Apps?
Don't run setup, but look for any graphics files that can be opened.
Or look through all folders for ReadMe's, INI's other text files that can be looked at to determine what app it is.
After a little research this more than likely a Windows Update.
Possibly realted to http://www.microsoft.com/technet/sec.../MS10-070.mspx
Also note, that in general, Windows Updates (especially on XP) that do not install properly or clean up properly after install will leave behind those kinds of folders on the drive that contains the most free space. Even external USB drives.