This usually happens if a previous version of Dreamweaver is installed along side of Dreamweaver CS5 when you double click the extension to begin the install. It will happen if the older extension manager is the default application for mxp files.
to get around the problem, start the install manually.
In Dreamweaver CS5, go to Commands -> Manage Extensions to open the extension manager. Once it is open, close Dreamweaver.
Now click the install button and browse to the mxp file to begin the installation.