I just tried to duplicate the install behavior which you are experiencing but I was unable to. From the screen you posted it looks like you are trying to install the Akamai download manager 2.0 but when I just started the download of Captivate CS5.5 it used Akamai Download Manager 3.0 which does not install anything.
Did you try to download Captivate CS5.5 from http://www.adobe.com/cfusion/tdrc/index.cfm?product=captivate&loc=en%5Fus?
Which web browser are you using btw? Have you tried a different web browser?
Try to uninstall the Akamai Download Manager and then re-download Captivate form the above link mentioned by Jeff and try installing it. Check if it gets installed.