As said, this error usually comes if u stay behind proxy. So to get with this, open IE-Internet options-Connections-LAN settings and take the proxy address. Configure the SDK Manager.exe (settings tab) to that proxy address with port. Check Force Http....
If u have a Proxy script in your LAN settings, copy the address and paste in address bar. Open the downloaded file in notepad. Find your ip address from ipconfig. In the file, go the subnet range in which your ip falls. Eg: isInNet(resolved_ip, "198.175.111.0", "255.255.255.0") will be true for 198.175.111.53 take the return value: after the word PROXY and use this for configuring SDK Manager.
Now the SDK will be downloaded happily.