Where are you trying to download it from?  We usually recommend this
place:

http://get.live.com/wlmail/overview

Also, have you tried just downloading it, then installing the downloaded
copy, to see if this helps or at least tells you which part of the process
is failing?

Note that you'll reach more people who already have Windows Live
Mail if you ask in newsgroup:

microsoft.public.windows.live.mail.desktop