Are you using the online (where you install over the net) or offline(where you download the installer, save it to your HDD & then install) installer?

Use the offline installer - less chance of corruption during download. Check out this post for a link to the JRE offline installer: http://www.gnutellaforums.com/333278-post2.html
Make sure to remove all other Java versions that you might have installed on your computer (via Control Panel) before you install another version. And reboot your computer after installation finishes

If you're still having problems after that, use the MS cleanup utility (see the link above) & then reinstall Java.

Or try using a different browser when you download Java.

If you're still stuck, please give us your System details - help us to help you -> Provide these details when you post!!!