When aborting the message is "the file C:\documents and settings\%username%\local settings\Temp\TmpSsi\%hotfixname%.zip could not be opened.
What about the firewall port theory? Anyone else using a security appliance like the Sonic Wall TZ100 with Adagio?
"...could not be opened" Either this means what is says (user does not have rights to open the file) or you have not actually saved the file to your hard drive before running it.
If you are using a hardware firewall then you should not also be running a software firewall. Could the firewall be causing an issue? Possibly, but it would take someone with specific experience with this firewall to tell you if it is the cause of your problem. Could you temporarily remove it so that you are directly connected to the internet? If the Hot Fix does/does not install then you have at least eliminated/confirmed the firewall as the problem.