Try resetting your Internet Explorer settings to default - Tools/Internet Options/Advanced - Reset.
Also, make sure that you have no other security software installed that is blocking the connection.
If that doesn't help, please contact support for help with completing the installation.
How to reach support (FAQ) - http://forums.microsoft.com/WindowsOneCare/ShowPost.aspx?PostID=2421771&SiteID=2
-steve