Download failure has misleading error report

[David Balažic]

 - Downloaded http://releases.ubuntu.com/maverick/wubi.exe (rev 197)
 - after start I entered a password
 - clicked on install

After a minute I got this error dialog:

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Ubuntu Installer
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An error occurred:

Permission denied

For more information, please see the log file: c:\docume~1\stein\locals~1\temp\wubi-10.04.1-rev197.log
---------------------------
OK
---------------------------

Inspecting the log reveals that the actual problem is with downloading.
Log attached.