Sadly there isn't much I can do to fix that specific problem. The DirectX web installer isn't very good with detecting internet access and there isn't anything I can do about it once the DX installer starts. Outside of asking to do the install or not.
You can also get the
offline installer to update your computer with DirectX.
If you're interested in the details, here's what's going on.
Starting with the Strong Bad series, I include the
DirectX web installer with the installers. The games require at least the Aug '07 update, but all versions of windows ship with the original 9.0c and Windows Update doesn't update DirectX.
I rant on my personal blog about this...
Our installer runs the installer Microsoft provides on silent mode. Once it's fired, I can't do anything to further detect if the computer can connect to the server where the DirectX components are installed. I have to wait for it to finish, but there's no way I can detect if it's hanging. While I could check for an internet connection, it's about the specific address for getting all the DirectX components, rather than any URL.
For the record, when a disc based distribution happens, including Strong Bad and eventually the Wallace & Gromit disc, we'll be including the 'offline' version of DirectX.