When installing Tuxedo for the first time on Windows 2008 R2 (this allow apparently happens on 2008 and 2003), I have encountered an error saying:

Error The value of -TUXDIR- is not set.
Registry key -\10.3.0.0_VS2005\Environment\TUXDIR- is empty you must cancel the installation.
If you do not, the installer will run but Tuxedo 10gR3
with VS2005 will not be installed.

To get around this problem you need to remove the Tuxedo Registry entry using regedit:

Since, Tuxedo had never been installed, I deleted the entire “TUXEDO” level of entries.