The sdk might be easier to install (mainly because it contains everything you need Qt framework, creator, designer, mingw c++ compiler, etc).
Anyway, you didn't tell us if you tried what the error suggested as a fix, have you re-download the installer and end up with the same error? The installer could get corrupted while downloading.
And a second thing you can do is: move the downloaded file from eg: My Documents\Downloads to another path (on Desktop or another partition) and then start the installation, i saw this a couple of times, but i don't know the cause - might be some security policy that restricts the installation from those locations.