If you see (Access is denied) during attempt to download something.......
Downloading SDK Platform Android 2.2, API 8, revision 3
File not found: C:\PROGRA~2\Android\android-sdk\temp\android-2.2_r03-linux.zip (Access is denied)
1)You need run AndroidSDK application as administrator, to do that you need "run as administrator" button from the context menu. (btw. You may be user who has administrator acount but that doesn't mean that your run specific program as administrator!) .
2)another program used path C:\PROGRA~2\Android\ (In my case was Windows Explorer ) , only Android should use this path when trying download something.