What is the size of the file you downloaded from here: WICED-Smart-SDK-2.2.1-IDE-Installer (Windows)
260+MB? The problem you mentioned is normally related to the file only partially downloading. Most of the time, disconnecting from the corporate VPN will allow you to download the file in its entirety.
The Windows installer for SDK 2.2.1 linked above has been downloaded a couple dozen times in the last 2 days and nobody else has reported an issue.
The file download has no issues. The installer extracted the files and started the wizard. I get stuck with the Wizard
On my Mac, the Installer (2.2) does not open.
I just downloaded on my Windows 7, 32b machine the SDK linked above (did a save as to the desktop, then executed the file on the desktop) and it worked without a hitch.
I don't have a MAC for testing.