Have you tried downloading the downloader file from a different web browser yet and then running it? If that doesn't work, check to see if you're running any type of proxy or VPN connection that may interfere with the downloader.
Please first delete the file you've downloaded, and redlownload the latest download manager from http://www.battle.net/ and try again. If that doesn't help, please try the steps below:
*** NOTE: If you've just purchased your copy of the game, please be aware that you may receive a message about the download not being authorized for the first day or so, as the purchase gets processed by our system. Once the payment is approved, you'll need to delete and re-download the download manager file for the game you wish to install. ***
Please open up Internet Explorer and make sure that "Work Offline" is not checked, and that Internet Explorer has normal access to the internet. Our downloader uses the default Windows settings, which Internet Explorer also uses.
You may also need to double check your proxy settings for Internet Explorer. This can be done by launching that browser, choosing "Tools" then "Internet Options". From there, go to the "Connections" tab and click the "LAN Settings" button. Look for a checkbox labeled "Automatically detect settings." If it is clear, check it. If it was checked, clear it.
You may need to verify you are using an Administrator account. To find out which user accounts are marked as Administrator accounts with Windows XP, please see the instructions below:
-Click Start > Control Panel and look for an icon called User Accounts.
-Double click this and it should bring up a list of users on your computer.
-Find the user account that matches your user name and have a look in the group column, it may say administrator, power user or user. This is what type of account you are logged on with. Make sure the one you are using is listed as an administrator.
In order to set the downloader as Administrator Mode with Windows Vista, please follow the steps below:
1. Right click on the Blizzard Downloader file.
2. Select "Run as Administrator"
Creating a new user account might also resolve the issue. For instructions on how to create a new user account, Microsoft's site contains guides for each Operating System:
Sometimes power cycling your modem, router, and computer can help clear up these issues. Please power off the computer through the normal shut down process, and, leaving the computer off, find the power cord for your router and modem, and remove the power for about 60 seconds, making sure all the lights turn off. Once the lights on all your routers and modems have been off for about 1 minute, plug them back in and wait for the lights to stabilize. Once the lights are stable, turn the computer back on, delete the download manager, redownload it, and try again.
Next, you may have some security software loaded on the computer which may be blocking the application from connecting to the internet. Often times, simply disabling the security software may not allow the download manager to connect still. You will want to review your security software's documentation to make sure that the download manager has proper access to the internet.
If you have ever had security software, but have since removed it, remnants of it may remain behind. You may wish to try running the Norton Removal Tool or the McAfee Removal Tool to make sure those two products remove properly. Their links are below: