I solved this problem, though not trying to install Bullguard 2014, by deleting the registry entries for Bullguard.
To do this:
Click Start button
Click Run
Type in regedit
In the registry editor, delete the folder named "BullGuard Ltd." in the SOFTWARE folder of both HKEY_CURRENT_USER and HKEY_LOCAL_MACHINE
In my case I had tried to uninstall an older version of Bullguard, but the installation hung, possibly because I may have had the normal Bullguard process running at the time.
I had had to abort the uninstall by force, terminating processes with Task Manager. This left the system in a bit of a mess, but the above solved the problem.
However, I still have not been able to install Bullguard 2014 on my XP desktop - I am still running 2013. The error I get when trying to install 2014 is "Bullguard Download has encountered a problem and needs to close. We are sorry for the inconvenience". It then invites you to tell Microsoft about the problem, which is a complete waste of time because you never get any feedback. I don't any problems on my Windows 7 laptop.
Have any other XP users encountered this problem?
I will take this up with Bullguard support.
I hope this will help.