I have the exact same problem! It says 'connection lost' at 0%! I could handle last time, because even though the connection on the other episodes stopped downloading I just re-clicked and it eventually downloaded the episode. What's really pissing me off is that even though there's a lot of us with the same problem, TellTale is refusing to resolve the issue! They could even communicate with us to let us know what is happening, but no, they just sit on their arses and go, "DUHH?!" I so should of downloaded from Steam instead
I'm sorry, I know I'm moaning but other than that, I think TellTale have done a really good job with this game.