Some people just can't get the download from Apple direct, not sure why, always say they have turned off firewalls, connected directly to modems etc,etc, but still unable to download.
If you are still have problems, try here
http://www.ismashphone.com/2010/09/ios41-direct-download-links.html
It needs to be saved in this location on your computer
Mac: ~/Library/iTunes/iPhone Software Updates
Windows XP: C:\Documents and Settingsusername\Application Data\Apple Computer\iTunes\iPhone Software Updates
Windows Vista/7: C:\Usersusername\AppData\Roaming\Apple Computer\iTunes\iPhone Software Updates
Once you save it there, start iTunes and it should find it. Then select Restore and it should proceed.
Note: If there is any other file in this location remove it so only this new file is save there.
Hope this helps