Maybe the problem is in your firewall, specifically ZoneAlarm.

To solve the problem, either exit ZoneAlarm while you are downloading or switch to a different firewall.

Sygate personal firewall works allright and you can download it from CNET (download.com).

NOTE: if you are using ZoneAlarm and want to uninstall it, visit its website for detailed uninstallation instructions. Don't just use add/remove program. Otherwise, you could crash your computer.