I had the same problem and it was caused by the firewall functionality of my home router.
Since the installation of this router three years ago, I never experienced a similar problem.
It seems that when you try downloading PlayMemories, the server opens inbound connections, the firewall correctly drops them because it doesn't see an associated outbound request, and the installation fails.
To solve the problem you have many options:
- disable temporarely the firewall
- use a different connection (for example an internet key)
- open a VPN and try again the installation