It may be that security is blocking the download, so I suggest downloading Digital Editions first and then installing from there. Check out the kb doc below, it has links for manual downloads of Digital Editions for both Intel-based Mac and PowerPC Macs.
For your convenience;
Manually install Adobe Digital Editions for Mac OS
Note: If your connection times out, save the installer package to your desktop. (Click the link for your Mac OS X machine, and then click Save.) Double-click the file to start the installation.