Hi guys,
So I fixed this issue for myself by finding the file failing to download in my case WindowsXP-KB975337-x86-ENU.exe
This file gets created in /Users/<USERNAME>/Library/PlayOnMac/ressources/WindowsXP-KB975337-x86-ENU.exe
I deleted this file and then downloaded the file via the url in the error message and placed in this location.
Once file is in the right place, retry again and all should work.
Joel