I wish I'd have asked, too, if you were getting an error message.
Things to check out:
1. Be sure you are on as an Administrative user:
Go to the Control Panel and open User Accounts. Are you showing there as
If not, click on your user account then click "change my account type" - and change yourself to Administrator.
2. Go to Windows Updates and be sure you are up to date. Check even the Optional downloads for things related to downloading.
3. Try this article and fix from microsoft: http://support.microsoft.com/default.aspx?kbid=816868
...do any of these fix it? If not, please confirm if there is an error message, and if so, what exactly?