How are you downloading the licence? The only way I got it to install was by:
1. Log into Telerik website and manually downloaded the licence.
2. Create the sitefinity project using Sitefinity Project Manager.
3. When prompted for a licence specify the one you downloaded in step 1.
One other thing to point out. If you are using a licence for an older version of Sitefinity it won't work. For example the licence for Sitefinity Business Edition 6 will not work if you are installing Sitefinity Business Edition 7. Instead you have to download the version 7 licence.