Well it looks like that might be your problem all along.
" ERROR: Could not find an XML setup file in the package. "
Basically components in Joomla/Mambo use a xml file to tell Joomla what it is and what to do with it.
What component are you trying to install?
And are you sure that there is an xml file included with it?
Also have you checked to be sure you have xml support on your apache/php installation?
Honestly it sounds like other than, you should be ok. If all your dirs are Writable and you have tried the above, then I would check those two things. I have some experience with joomla, and it seems to be pretty much smooth sailing for everyone of my joomla installs.