The installer is not configured to resolve the reference to http://antinstaller.sourceforge.net/dtd/antinstall-config-0.8.dtd locally, i.e. from within its jar. Therefore, it tries to get it from the Web, which fails if there is a firewall (on Windows, Java does not use the "standard" (i.e. IE) settings and on Linux there even isn't something like standard environment setting [well, sometimes http_proxy is used]).
Workaround is of course to start the installer with
java -Dhttp.proxyHost=your-proxy.com -Dhttp.proxyPort=some-port -jar jetspeed-2.1-demo-installer.jar
but how many people know this ?