I'm having similar problems as Zero Traveler. I've tried downloading the DDI data multiple times using both wireless connection and cable connection.
After the download completes I get the message that there was one error downloading and that there is a server error. The downloader then suggests that you can retry downloading the missing data a couple of hours later since the server error often fixes itself... but when I do so I get the same server error message again.
Without the DDI data (I have a subscription) Hero Labs isn't of much use to me
Has anyone else had similar experiences with the downloader and been able to fix them?