My first idea is maybe your Java on your system is out of date. Go to
http://java.com/en/download/help/5000020700.xml and follow the directions, the current version is 1.5.
Next would be to download the file to your computer before letting it install. R-click on your desk top and create a file re-name if you want (I like pain in the $%#). Then when your downloading the file select save, browse, desktop, the new file, and then save. After it is done the open the file and try to install.
Also before attempting
With any machine make sure you have the latest update's, in my case Micosoft XP pro.
Make sure you have defragmented the disk recently, run a scan for spyware, run disk cleanup.
If everything else fails run checkdisk or scandisk depending on your system, your system could be just running like a slug.
A really great book if your running XP, is Microsoft Inside and out, Search Limewire if you get it up.
Mark