If you get errors during the download stage of the setup use the download links povided here insted:

• .Net Framework 3.5 or newer is needed for Vista and older (Windows 7 has 3.5 built in)
  http://www.microsoft.com/downloads/details.aspx?FamilyId=333325FD-AE52-4E35-B531-508D977D32A6&displaylang=en
• Flash player for non IE (Opera,Firefox,etc) is needed for all versions of windows
  http://get.adobe.com/flashplayer/

That should help with that problem.

If you get this error you got to download and install .net Framework 3.5 from:
http://www.microsoft.com/downloads/details.aspx?FamilyId=333325FD-AE52-4E35-B531-508D977D32A6&displaylang=en