Hey guys, I tried to search for this, but pulled up a 500 error every time I searched the GT5 forum.  When the game first starts, it asks if I'd like to install the game.  I clicked yes, but it went almost immediately to the game's intro video and start menu.  No installation screen, nothing.  I also don't seem to have the option to install through the XMB at startup, but this is the first time I've tried to install a game manually, so I might just be missing something.  Anyone have any ideas or tips? 
 
EDIT: I am getting a little sign that flashes "Installing..." in the bottom right hand corner, but it's erratic and doesn't always appear.  Also, there are no menu options in the game to install it, only the option when I first turn on the game.  Hard drive space is not an issue.

Maybe you don't have enough space on your HDD? It's 20GB and you can install it from the options before you go into GT mode.

No, I've got plenty of space.  That shouldn't be the issue.

Solved my problem.  Apparently, the game features a background installation while you play, installing chunks of the game when you access tracks and cars.  Annoying, because I'd rather just get the install out of the way, but since I don't see any other options on a full install, I guess it'll have to do. 

Honestly, the menu system and all the loading/installing completely killed any desire I had to play this game. I think I played four or five races when it first came out, and I haven't touched it since.

there is an option in the in-game settings for an install. i believe its under "utilities" and takes about 40 mins to install 6 gigs, and will do background installs till it hits 10 gigs.