What Mac OS are you using? 10.6 or 10.7? And what computer year/model are you trying to install this on?
The Apple servers are slow and finicky for some people it seems so you may have to just keep trying.
Also, try looking in the System Preferences/ Network/ Advanced/ Proxies and make sure Auto Proxy Discovery is UNchecked and make sure you hit Apply, having it checked can bugger up the download for some computers.
You may also want to re-start Boot Camp Assistant after changing it to make sure it see's the change if it was checked
Here's a link to a quick search I did for some more information.