Access is denied when installing SQL Server Express 2008

The following error has occurred:
Access is denied
SqlEngineDBStartConfigAction_install_configrc_Cpu32

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This failure often is caused by a system or domain policy removing the SeDebugPrivelege security privilege from the administrator account running setup. Verify that the account running has this privilege.

The AccessChk tool will print all privleges for an account (http://technet.microsoft.com/en-us/sysinternals/bb664922.aspx) by running:accesschk.exe -a \ *
Alternatively, we can check this through your group policy editor as mentioned below:
Open Group Policy... Start Run Type: gpedit.msc OK Navigate to Computer Configuration\Windows Settings\Security Settings\Local Policies\User Rights Assignment\Debug programs

The account through which we are trying to run the setup should be here ( besides the local admin on that machine). I included that here, restarted the server ( this is mandatory, gpupdate /force will not work) and ran the setup and it was successful this time.
SQL Server 2008 setup needs this privilege to start up the SQL Server process and listen to an event that signals back to setup that SQL Server successfully started.