I was having problems with the install as my server kept getting memory errors... so ...
this is what I did - and it worked perfectly (even though it may take a little longer.
1. Fire up your ftp client and connect to your server.
2. create a tmp directory - or as I had to do - tmp\tmp because tmp already existed.
3. on your local pc unzip the installer package.
4. select all the files (and subdirectories) in the unzipped folder and copy them to the new folder on your server.
5. in Joomla 'Install From Directory' enter the path to the new folder on your server where you ftp'd the files.
6. Click install.
7. Have a beer and celebrate!
I didn't need to do this with the mods - only the component (it is a very large install package and some ISPs don't like files that big... ho hum...)
Hope this helps