That is a VERY interesting problem (sorry, being a QA guy, all problems are interesting, but I guess it's irritating to you guys).
It would be great if you could contact support directly with as many information and reproduction steps as you can. Firek can redirect you to us and we can contact you directly to help solve this problem.
1) What OS and what version of it you have installed
2) What is the path you are trying to install in
3) Are other GOG installers working for you?
4) What are the exact steps you performed?
5) Are there any background processes running, like skype, antivirus, firewalls, games, other installers etc.
6) DxDiag.
These are just some off the top of my head.