This is surely something related to wrong antivirus settings or firewall settings.
Try the following:
1) Reboot and don't launch FS9
2) manually delete the following files:
bglman.dll
bglman.dat
bglman_fsdt.dat
bglman_skymakers.dat
from the FS9\modules folder.
3) Turn off your antivirus, turn off any firewall software
4) Install the scenery.
5) Empty the Internet Explorer cache
6) DOWNLOAD and Launch the Stand Alone Addon Manager setup, verify that IS downloading the files you just deleted and is downloading without errors as soon as it gets launched.
Do exactly as I've said. Do it exactly in this order. Don't do anything else and report back.