An exception means that an error occured in the program.
When this happens, you need to note the error carefully (screen shots help a lot with this). Check the appropriate error logs. In this case, I'd check the wizard's log, SQL Server's error log, and all of the Windows even logs.
There is almost always a message that describes the error. The information provided about that error (both from the message on the screen and from the appropriate logs) will help us a lot as we try to help you resolve the problem.
-PatP