Can you download the DirectX file using the the direct url ?
http://install.team-mediaportal.com/DirectX
If so, you can pace this file in %temp%\Team MediaPortal\Deploy
The next time you start the installer it will recognize that
you already have it and skip the download.
Austria
The location is:
%temp%\MediaPortal Installation
Though it would be better to find out why it can't be placed there automatically.
just copy and paste %temp%\MediaPortal Installation in your explorer's adress bar