Try these options:
1. Go to the tools menu in internet explorer
Select internet options and then the privacy tab;
Raise the setting to at least Medium-High
clear cache
Restart internet explorer
2. switch to firefox
3. if you have a cookie blocking internet security program installed on your desktop (like ZoneAlarm, etc. ) disable them for the installation
4. go to
http://forum.joomla.org/viewforum.php?f=506 and search for the problem