I'd like an answer to this too - I have exactly the same problem. The first time I installed I chose the third option and got a similar pop up window. So I re-installed all over again and chose option 2. Still get an error. So much for an easy install. I didn't expect the problems to start at this point
Now I've tried the first option and the install continued OK. I now have the video wizard working.
The install won't work though because the installation has picked the wrong IP for my router. My router (Fritzbox 7140) has a built in ADSL modem that I do not use. I only use the router part and this is connected to a cable modem. I think that LinuxMCE has picked up the ADSL modem's IP which is useless. So, I need to change the gateway IP to that of the router, so LinuxMCE can connect to the Net and retrieve the necessary files. I haven't yet worked out how to do this.