I can successfully install QGIS 2.8.1 on a Windows 7 machine but I get an error when downloading the Carlina, South Dakota and Alska data sets. The error message is http/1.0 504 Gateway Timeout. Looks to me like as I am behind a firewall, I need to supply login credentials. But how would I do that?
The Getting Started manual contains some links on obtaining sample data which I think are the same datasets when installing QGIS. The following is the direct link for a sample dataset:
GRASS also has some datasets based in North Carolina (cannot remember if it's the same dataset):
Hope this helps!