Windows 7 will not allow the installation script to write to c:\windows\pear.ini. It gives the "Fatal error: Call to undefined method PEAR_Error::set()" error. Change the location of the configuration files (#11) to someplace writable, complete the installation, then copy the contents into c:\windows\pear.ini.
Thanks to email@example.com for the initial hint about the pear.ini file.
<p>Windows users - if you get an error like:
<pre>phar "C:\PHP\PEAR\go-pear.phar" does not have a signature</pre>
followed by an assortment of failed to open stream/non-existant file type of warnings and errors, the problem is with the package hash check. I was able to work around the problem like this:
<pre>php.exe -d phar.require_hash=0 go-pear.phar</pre>
(thanks to www.lenss.nl).</p>
<p>If anyone knows how to properly perform the hash check in the windows environment, I would love to know!
If, after running go-pear.bat under Windows, you answer the file layout questions but then immediately see "Fatal error: Call to undefined method PEAR_Error::set() in phar://go-pear.phar/PEAR/Start.php on line xxx" where 'xxx' is a number, check the answers that you gave for the file layout.
In particular, check item 11, the name of the configuration file, because, unlike the other locations, it is not a directory but a file name and so needs to end in "pear.ini".
If your PEAR installation is an old version (earlier than 1.4.0) that is provided by your operating system's package manager or your "website package" (e.g. XAMPP), then you need to read this  to successfully upgrade your PEAR installation to where it can install/upgrade packages from PEAR's pear.php.net channel.