Hi Alan,
Over the past couple of years I've had the same problem multiple times. I usually wait a bit and try again. If I can't get it to work after two or three times, I just download and install it manually. Seems to happen more often when there seems to be lots of traffic on my service providers network, i.e. if page loads seem to be slower than usual.
When you try to have Moodle do the install, there are so many steps it is trying to complete and it only takes one minor glitch in one of the steps to cause it to fail.