I can reproduce this:
I'm on Windows, using the Posix launcher under MSYS. The install script requires a Windows path in the prefix, then it installs fine.
I don't have the problem with the `clj` tool, but rather when running `clojure -M:repl`.
At some point during the download process, downloads just stop. After a long wait I get the above error message.
My hypothesis is that there's a deadlock somewhere. NTFS is a lot more picky about file locking than Linuxes are. I might look there along with the threads...
The workaround described above solves this for me.