I cannot install Plex Media Server on my Windows 10 machine

Deinstall plex server
Don’t use 3rd party unistaller software like Revo.
Don’t use ‘Registry cleaners’ like CCleaner etc.

Download a fresh copy of the installer.
Use a different web browser this time.
Only download it from the link below.

If that still fails, you need to remove pms-shutdown.msi using the Microsoft Fix-It!
If that fails as well, there is some manual registry work needed: