Hey Markku,
So, I figured out the solution. So, I reverted to CW10.2 ( CodeWarrior Development Suite - Special Product Summary Page) and after that I was able to successfully install Freescale MQX 3.8.
I noticed that installation is indeed dependent on the version of Codewarrior being used, that is, Freescale 3.8 depends on CW 10.2. Also, the CW directory that it checks is hardcoded in the wizard it appears, so that directory must exist exactly as it's spelled out since it's not configurable from the wizard (geez).

The release notes specify CW 10.1 to be the earliest supported version, but I'm guessing since CW10.3 is still in it's beta phase, the MQX 3.8 installer does not check for this.
However, on the bright side, once MQX3.8 is installed, it can be used in the latest version of CW10.3 and installing "MCU v10.3 Updates for MQX" from: http://freescale.com/lgfiles/updates/Eclipse/MCU10_3/com.freescale.mcu.updatesite
seems to add some pretty useful features.
Thanks again for your help,
Richard