RealJukebox and RealJukebox Plus Frequently Asked Questions...
http://service.real.com/help/faq/rjbfaqa1.html#reqs
...Important thing to note there is that RealPlayer must also be installed.
Only other thing I can add besides the FAQ (if on XP) is to right click the installer, select Properties, select Compatability tab, and choose to run in Windows 98/ME mode. Once installed, do the same steps for created application shortcut to RealJukebox.