You can click on the cancel button. It has a dark circle with an X through it. Where are you choosing to download the installation files too?
I have the same problem, and the cancel button is not click-able in the "extracting" phase. I try to quit the Adobe Download Assistant and re-start the download, but it shows me an error (105) and then goes back to the same problem. I saved it to applications and have read that it shouldn't be saved there, but now I can't re-do the download to fix the problem.
Kurara2 you will want to complete solution 1 in Troubleshoot Adobe Download Assistant - http://helpx.adobe.com/creative-suite/kb/troubleshoot-download-assistant.html#main_Solutio n_1. You will then want to reiniate the download. I would recommend also choosing your User folder, which is the default, or your desktop folder to save the install files too.
Alternately you can follow the directions listed at http://forums.adobe.com/thread/981369 to initiate a direct download.