There is an alternative you know. When the REP was first released, there were a a number of different releases, updates, with and without .exe installers.
I don't know how many of those different versions are still available, you'd have to do a search.
The first version I got a hold of at the time had no installer and the manual installation went without a hitch. Later I got an improved version that included an installer and that installation went all right as well.
As to your question whether you should click YES during the installation when you're asked if want to create a folder named Real Environment Pro YES is correct.
From memory, using the version with the .exe lets you make changes to your environment even after installation -- but don't quote me on this.
The alternative would be to run the .exe but target a temporary folder instead (if it lets you) and then install manually.
The last straw would be to find (if they're still available) one of the original versions without the .exe. --- I've installed REP in the past with and without an .exe without a problem.
I seem to remember that the Readme of the .exe version contained explicit DOs and DON'Ts - I'm sure you've read those but double checking can't hurt.
Finally I would check if there are any updates or fixes available. Another avenue of enquiry would be the http://www.fs2004.com/
forums, I think that's where the author used to spend some of his time. You're bound to find topics dealing with REP there.
If all else fails, you could always tell us where you've downloaded the file from AND the (.zip) File name -- and/or post the Installation instructions here.