How many times have you received this error message?
If only once, simply try re-downloading the Lion updater again. The internet is not infallible, and sometimes errors in downloading occur.
If you've tried the download more than once and consistently receive this error message, a few things may be happening, including, but not limited to:
1) Insufficient hard drive space to save the download
2) A permissions problem with the place the Lion installer is trying to save to
#2 can be "fixed" with a "Repair Permissions" procedure using Disk Utility. We'll let you post back about your available hard drive space with regard to #1 before we go assuming on that one.