Adobe's download manager is known to be buggy and have problems with proxy servers.

If the Download Manager shows a 'Server Error' when attempting to install Flash, then just cancel the download manager. Once the download starts, the Adobe website will normally change to a 'download complete' page that tests your Flash installation. If the download failed, then it will try to install the flash player without the download manager; you may need to reload the page.

If you need assistance, please contact our helpdesk. We can do a screen sharing session to get to the bottom of the matter.

An alternative technique is to use a browser other then Internet Explorer. Try Google Chrome; it will prompt to install the Flash player normally without using the Adobe download manager.

http://fpdownload.macromedia.com/get/flashplayer/current/install_flash_player_ax.exe