Log files are generated which record the events that occur during installation.
The log files are typically written to Documents and Settings\[USERID]\Local Settings\Temp.
In addition, there are subfolders for the server, client, and Web client installations (named Server, Vault, and WebClient, respectively). Each installed product writes to its own log file in one of those subfolders. So, you sometimes see edm_wse.log and msde.log under Server\ too.
You can use a log file to track system operations, warning, and errors.