There must be some problem in your internet connection. I've just checked the installer now, and it downloads just fine.
If the setup can't download files, the problem probably is your firewall settings: if you have a firewall, you need to grant permission to access the internet to the installer EXE. Usually, a firewall program (eg. Zone Alarm) will warn you if any executable tries to get online access, and will ask you to give it permission. Be also careful about using two firewalls at once, this usually creates problems like, for example, using a 3rd party firewall together with the Windows one. Be sure you are using only one firewall, and be sure the setup gets permissions to go online to fetch the crucial files needed.
