DIAGNOSIS The installer is being blocked by Windows security software (Firewall, Defender) or a previous printer driver installation is causing a conflict.
FIX Do not use the installation CD or the 'Easy Start' tool. Go to the HP Support website. Download the 'Basic Driver' for the M404dn and your OS. Run the downloaded file as an administrator (right-click > Run as administrator). During installation, when prompted for a connection type, select 'USB' even if you plan to use network later. Connect the USB cable only when the installer tells you to.
IF THAT DIDN'T WORK Clean out all old HP printer software. Go to Windows Settings > Apps. Uninstall anything named 'HP', 'HP LaserJet', or 'HP Print'. Restart your computer. Temporarily disable your antivirus and Windows Firewall. Install the Basic Driver as administrator again.
HEADS UP The full-featured HP software suite often causes conflicts. The Basic Driver is stable and gives you all printing functions. After a successful USB install, you can then add the printer as a network device using its IP address within Windows.