Try using the offline download and install. Go to http://java.sun.com/ and click Java SE in the "Popular Downloads" at the right. Download and save the offline installer version of what you want. Click the saved file to install.
You can also check the Help information at the java.com website.
jimmybro, welcome to the forum. Please don't post to threads which are long dead, and don't hijack another poster's thread. When you have a question, start your own thread. Feel free to post a link to a related thread.