Re: cannot complete windows Media Player 11 setup.
Does your ISP have a time limit to Internert access? Does the WMP 11 download complete and then will start to install and then do you receive an error message during the installation? The problem could be with IE so I would suggest defaulting all Internet Options settings, defragmenting the HD, delete files and then cookies, clear history, check box deleting all offline content, clearing the SSL State and check to see if IE is your internet browser. Also check your connection settings in the Internet Options tab.
I do all of these everyday and it not only allows your computer to perform better it also reduces potential problems. The only downside is that if you have several favorite sites then you must be sure to have your user ID's and password written down as most will require that you enter this information when logging in after deleting cookies and temporary internet files.
I have thought about downloading WMP 11 but there appears to be problems such as yours so I will wait until the "bugs" are cleaned up.
Addenum: I neglected to suggest to uninstall any accelerator software or features as this may also have an affect on your completion of the download. All of these suggestions come from Microsoft Technical Support with Windows Live OneCare as I am having the same problem as your are only with Live OneCare downloading. Your problem, as well as mine, is probably in the registry files and you may want to try http://safety.live.com/site/en-us/default.htm?-cid=mscom_hp which should take you to Live OneCare for a free complete scan of your computer. I had 247 registry files that were corrupt and subsequently cleaned automatically with this "tune up."