I found that my Anti-Virus program (Vipre Internet Security 2012) was preventing me from installing or uninstalling Thunderbird. I had enabled their Process Protection system prior to this. I remember that when I first started to delete Thunderbird, I was asked if I wanted to allow this program to make changes to my system. I wasn't sure and had decided to stop the uninstall so I chose no. That is when all the troubles began.
If you have a firewall setup to prevent changes being made to your system, turn it off until you have completed your install. That should allow you to install Thunderbird.