Here you go...this is what Sun say about this particular problem:
There are two possible reasons why you are experiencing this error:
Currently, the online installation program does not support authenticated proxy. If you are behind an authenticated proxy server, you will get this error message.
You will get this error if you require a proxy server and the proxy server information has not been specified in your Internet Options.
SOLUTION
There are two solutions. You can use Windows Offline installation or you can specify the proxy server information in your Internet Options.
Windows Offline installation:
The Offline installation program contains all the files you need. Please go to:
Download Java software from Sun Microsystems and click on Windows Offline Installation to download the file.
When prompted, please choose "Save" in the download dialog box, and save the download package in a convenient place (e.g. save on the desktop). Do NOT choose to "Open". Double click on the downloaded installation file to start the installation process.
Specify proxy server information:
From the Start button, click Settings > Control Panel
In the Control Panel, double click on the Internet Options Control Panel
Click the LAN Settings button
Under the "Proxy server" section, check the "Use a proxy server for your LAN" box
Enter the name of your proxy server in the Address field and the port number in the Port field.
If you use different proxy servers for different protocols, click the Advanced button and enter the information in the appropriate fields. Please refer to the example below.
Click on OK to accept the change as shown in the example above
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