I tried to download it on a win xp machine and I succeeded at the first attempt (even thought it seemed to be stuck for a few seconds before reaching 100%).  I was also able to start the installer, even thought I didn't install it.
This is the version I downloaded: http://www.python.org/ftp/python/2.3.5/Python-2.3.5.exe

May I ask you why you are attempting to download such an old release, and not even the latest 2.3 (there's 2.3.7 available, that also includes some security fixes)?