Hmm..
What is the MD5sum of your installer?
Are you running a 32bit or 64bit linux install?
This is what the MD5sum should be for the "latest" build of the Penumbra collection installer..
d9ae143516e0873f3d26c4c3fd6b9df1 PenumbraCollection-1.1.sh
./PenumbraCollection-1.1.sh --target TEMP --keep --noexec
you'll want to manully run the startupinstaller.sh and it should "Extract" out everything else, including the binaries. If it doesn't and it bombs.. Then try manuallly running the lzma-decode binary.. If that fails to run, then we need to see why.. Run ldd on it
ldd ./bin/linux/x86/libc.so.6/lzma-decode
and send me that output.
You should be able to "manually" extract out the installer via any lzma binary you have.
lzmadec subarchive | tar -xvf -
Then you can manually run the installer. Or even replace the lzma-decode binary with your lzmadec.
My lzmadec (fedora 16) is from the xz-lzma-compat v5.1.1 package.