Please check that you actually have write access to the location where you are trying to install it and that your antivirus is not blocking the toolchain installer. If nothing helps, please try downloading it manually fromĀ http://gnutoolchains.com/esp8266/ and run the installer in the interactive mode.
Sorry about that. It was indeed a bug on our side triggered by a switch to the MinGW2-based environment. We have fixed it and released an updated R17 toolchain.