If Olympia's advice does not help these points may:
1. The error relates purely to the optional extra CA APM Standalone Agent for Microsoft SharePoint (SPMonitor) and is not related to the Enterprise Manager server. So you just need to use the credentials for the SharePoint domain user account.
b. If you do not need to monitor Sharepoint applications then you can go back a few steps in the installation and deselect the Sharepoint option
2. If you want to use Sharepoint monitoring try a silent install from the command line as we have seen in the past that is successful when "server name can not be empty"error occurs in the UI agent install.
IntroscopeDotNetAgentInstall32_9.5.0.0.exe /s /v"/qn
INSTALLDIR="<Installarion Directory>" EMHOST=<Enterprise Manager Hostname> EMPORT=5001 ENABLECD=0
ENABLESOA=0 ENABLESPP=0 INSTALLSPMONITOR=1
IS_NET_API_LOGON_USERNAME=<domain>\<user_name> IS_NET_API_LOGON_PASSWORD=<password>
3. Here is the wiki link to APM 10.0 .NET Install Guide & the info would apply to 9.5 as well: Installing the .NET Agent
Hope it helps