Believe it or not, SDK installation is usually rather friendly, interactive and painless :-)
I have seen your comment on Jonathan's blog so I have general idea of what might be going on but it would be good to have some more information in order to troubleshoot this and get you going...
First of all, one possible culprit is that your download was not complete after all, so the library required for installation was not found once the distribution has been extracted. So, could you please check the size of the downloaded file and provide exact distribution name for comparison? I would ask to download again, but you did mention download issues - I am not in a position to comment on those, but someone else might pipe in...
Did you intend to run the installation in CLI mode or you actually have access to GUI? If you are able to run in GUI mode, please make sure that your DISPLAY is set properly and run the distribution - issue you run into should not occur in that case since it is related to the native library specifically used in CLI installation.
So, please post the distribution file size and name first, and we'll go from there.
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