Maybe you have some download manager that are not allowing the download to work (like GetRight for example). Try pressing SHIFT berofe download the modules for your theme (not skin ;) ).
You can always download them by yourself and place the dll (of the zip) in the modules directory.
Use those sites for this:
http://www.loose-screws.com/modules.php
http://www.shellfront.org/modules-list.php

If you are new to LiteStep, i advise you to do some reading, it will take some time for you to be confortable with this "shell",you have to be patient.
I hope to solve your problem!