We're getting reports from some users who are having problems installing the InfoPath SDK. The problem appears to be caused by intermittent network traffic issues causing downloads to fail part-way through. You'll end up with a file that appeared to download but is missing some or most of the data. Restarting the download sometimes accesses the incomplete cached version, which doesn't improve the situation.
The file size of InfoPathSDK.msi downloaded from http://www.microsoft.com/downloads/details.aspx?FamilyId=351F0616-93AA-4FE8-9238-D702F1BFBAB4&displaylang=en should be 4.34 MB (4,552,192 bytes). If you end up with a smaller file it's been truncated due to network problems, and the install will fail. Clear your browser cache (in IE: Tools | Internet Options, Delete Files...) and try the download again.