Do you mean you are getting error while creating setup? or after installed by the setup file?
"load report failed"
This error occurs by following scenarios.
Invalid File path
Invalid File name
make sure the IIS user has permissions to access the file at that location
No access for C:\Windows\Temp directory in Server, ASPNET machine accoutnt to be added to the Temp directory
If possible delete unwanted files in your Temp Directory
or you have to specify username and password attributes for <identity> tag in Web.config file for identifying the IIS Authenticated Account or User
<identity impersonate="true" userName="accountname" password="password" />
So try these things & after then you face the same issue then come here with full details along with exception message.
For Setup creation with Crystal Report
How to Crystal Report Merge Module