There is an error in the setup that is trying to tell you that it can't patch bgmain.exe (or Baldur's Gate II for Mac users). However, it only goes there if bgmain.exe (or Baldur's Gate II for Mac users) isn't even in your directory!
Thanks, I didn't noticed the missing file.I realized that after installed the patch 26498 the bgmain.exe disappeared for some reason. I reinstalled the patch and the .exe appeared. Problem solved.