The problem is surely caused by a firewall, since the files downloads correctly here.
However, not having online access is not a problem, there's another copy of the files included in the installer, which is telling you exactly that: "Press Next to use local bglmanx file".
If you do what the installer says, pressing the Next button, it will use that copy instead of the online version, which can be recent or not, depending when you downloaded the scenery installer.
But in case of problems, if you download and install the current version of the Stand-Alone Addon Manager, it's sure that everything is updated to the latest version so, the local files are the same as the online version, so you can be sure you have everything updated, even if your internet connection is not working, or your firewall is blocking online access to the installer.
