[nirvAnA]

Seems like a Internet settings issue. Here are the common solutions for it.

Try this

Solution 1:

Go to the Control Panel and open up Internet Options.
Click on the Connections tab.
Click the button called "LAN Settings"
Uncheck all of the options on that screen.

Then try again.

If that does not work, go back in and check the box to "Automatically Detect Settings" and test once more.

Solution 2:

When you're in IE making sure you're not in a proxy, etc. etc., make sure you're cookie settings are set to at least medium.

Solution 3:

1. Try temporarily disabling your anti-virus\firewall, as simply allowing the downloader sometimes doesn't cut it.
2. Make sure you're running the download as an Administrator.

Look over your firewall and security software to be sure they're allowing the Downloader access to the Internet. What types of security software do you have?

Solution 4:

See: http://us.battle.net/sc2/en/forum/topic/13501355#1 for more troubleshooting steps.