If you have NEVER installed Dell Download Manager previously, you will be prompted to optionally do so when you click on the download button.
If you are not prompted and receive a failure message instead, follow these steps to delete the Dell Download Manager and then you can reinstall it if you wish.
I have sucessfully used the following method to uninstall/reinstall Dell Download Manager on a Windows XP system running IE8...
Upon completion, perform the download again. This time you should be prompted for your choice of a download method. Receiving this prompt indicates that you are not currently using Dell Download Manager. You now have a choice of installing/reinstalling Dell Download Manager or not (http download method instead).
For performance considerations, you may want to query Dell for the FTP link of the particular download you require as the HTTP download method can be lengthy in comparison.
CCleaner.EXE is a freeware utility that worked for me but other utilities may work as well. Here is the link for CCleaner.exe, http://www.ccleaner.com.