You give very little details... Precise reproduction steps would be needed to diagnose the issue (which I could not reproduce here).
Do you already have the Snowglobe archive on disk ?
If yes, check it was not corrupted in some way (in doubt, erase it to trigger a fresh download from the installer).
Did you point the installer's download directory (from the "Snowglobe archive location" pane, see the screen shots in
this FAQ) to some directory you actually get read/write permissions for ?
If you have the archive and it is not corrupted, or if the archive just got downloaded by the installer and it still does not work, then, maybe (just maybe, since that's the only thing I could imagine so far) there could be a race condition, just when the download finishes and the installer tests for the downloaded file existence (i.e. for a download success), because while it is being downloaded, the file will be named some_random_string.part, and only gets renamed to its actual name once the download is successful (so, if the rename is done on one CPU core/thread while the installer checks for the final name on another core/thread, things could get messy...).
I just created a second installer, with a 2s pause added after the download. If you still experience problems after checking the above, please give a try to
that installer.
If all these fail,
download the Snowglobe archive from LL's site, and place it in a directory (with proper read/write permissions) where you will point the Cool VL Viewer installer to.
EDIT: I almost forgot... In the things to check for, be sure that the installer is not blocked by your firewall when it tries to download the Snowglobe archive from LL's site...