I've just been looking at a bug that may explain the behavior for some people (but probably not all). In the latest version of Flash 9.0.115.0, there is an incompatibility with the flash features we use for installation and user who have unicode characters in their file names. In these case the download bar will go all the way to the end but never actually complete. The actual files are downloaded into the correct location (<user>\Application Data\Macromedia\Flash
Player\www.macromedia.com\bin\digitaleditions2x0 on XP <user>\AppData\... on Vista IIRC), but just never detected as being downloaded correctly by flash.
While you can just go find the exe and launch it yourself, there are several known bugs with 1.0 not dealing well with Unicode paths itself. So you can either wait for both the next ADE update (the beta of 1.5 is available on the labs) and the next FlashPlayer update. Or you can create a username without Unicode characters in it.
Jim Lester
Adobe Systems