The error at the end of the CRT_EmuDriver install is normal. There's two that I've personally seen...
The the first is a "copy file" error. From my research, this error is caused by the missing Catalyst Control Panel software in the CRT_EmuDriver package.
The second error I've seen is a "thunk.exe" error, which is what I think your seeing. There error says something like...
"'Setup did not find a driver compatible with your current hardware or operating system. Setup will now exit."
This second error only happens to me with with 9.3 CRT_EmuDriver, and from my research, it's related to something called "Smart Gart" that is supposed to pick the best resolution for the next restart at the end of the driver install. For some reason, it chokes when trying to set the resolution. I think it's because none of the newly installed CRT_EmuDriver resolutions are appropriate for a PC monitor. What happened to me what that when I rebooted with my arcade monitor attached, it was trying to start up in 640x480 but not interlaced, which won't work on an low res arcade monitor.
So in my case, I had to run VMMaker after installing CRT_EmuDriver on my PC before rebooting and attaching the arcade monitor and then everything was cool.