I just downloaded and setup up XP mode on my system. As you noted, you were asked for specifics about your system, so I will guess you cannot use a file downloaded on another computer, since XP is basically a licensed copy. Not saying you are, just making a point.
I installed the XP mode first then double clicked the KB958559 Update to start its standalone install. Everything went fine, I was asked to reboot and then I completed the install.
If you are getting a message that seems to indicate corruption in the downloaded file, all I can suggest is to check the anti-virus in case it is interfering with the download.