I've been trying to automatically install groovy on a slave and get the error below.

I can manually download the file on the slave quite happily when logged in under the user account that jenkins runs under.
We do have a virus scanner (which can be quite slow) which automatically scans any downloaded files.
We do have a corporate proxy server, Jenkins is configured to use it and can download plugins quite happily. I also ran the job that requires groovy on master and it downloaded and installed groovy

This seems to be related to JENKINS-9340 which has been marked as resolved.

[EnvInject] - Loading node environment variables.
Building remotely on CusmodAAT_WHOS189 in workspace c:\jenkins\workspace\JBMS-Nigel-test-AAT
Unpacking http://dist.groovy.codehaus.org/distributions/groovy-binary-2.1.5.zip to c:\jenkins\tools\hudson.plugins.groovy.GroovyInstallation\Groovy_2.1.5 on CusmodAAT_WHOS189

ERROR: Failed to download http://dist.groovy.codehaus.org/distributions/groovy-binary-2.1.5.zip from slave; will retry from master
hudson.util.IOException2: remote file operation failed: c:\jenkins\tools\hudson.plugins.groovy.GroovyInstallation\Groovy_2.1.5 at hudson.remoting.Channel@87c24a:CusmodAAT_WHOS189
at hudson.FilePath.act(FilePath.java:900)
at hudson.FilePath.act(FilePath.java:877)
at hudson.FilePath.installIfNecessaryFrom(FilePath.java:731)
at hudson.tools.DownloadFromUrlInstaller.performInstallation(DownloadFromUrlInstaller.java:72)
at hudson.tools.InstallerTranslator.getToolHome(InstallerTranslator.java:61)
at hudson.tools.ToolLocationNodeProperty.getToolHome(ToolLocationNodeProperty.java:107)
at hudson.tools.ToolInstallation.translateFor(ToolInstallation.java:203)
at hudson.plugins.groovy.GroovyInstallation.forNode(GroovyInstallation.java:70)
at hudson.plugins.groovy.Groovy.buildCommandLine(Groovy.java:284)
at hudson.plugins.groovy.Groovy.perform(Groovy.java:79)
at hudson.tasks.BuildStepMonitor$1.perform(BuildStepMonitor.java:19)
at hudson.model.AbstractBuild$AbstractBuildExecution.perform(AbstractBuild.java:802)
at hudson.model.Build$BuildExecution.build(Build.java:199)
at hudson.model.Build$BuildExecution.doRun(Build.java:160)
at hudson.model.AbstractBuild$AbstractBuildExecution.run(AbstractBuild.java:584)
at hudson.model.Run.execute(Run.java:1575)
at hudson.model.FreeStyleBuild.run(FreeStyleBuild.java:46)
at hudson.model.ResourceController.execute(ResourceController.java:88)
at hudson.model.Executor.run(Executor.java:237)
Caused by: java.net.ConnectException: Connection timed out: connect
at java.net.TwoStacksPlainSocketImpl.socketConnect(Native Method)
at java.net.AbstractPlainSocketImpl.doConnect(Unknown Source)
at java.net.AbstractPlainSocketImpl.connectToAddress(Unknown Source)
at java.net.AbstractPlainSocketImpl.connect(Unknown Source)
at java.net.PlainSocketImpl.connect(Unknown Source)
at java.net.SocksSocketImpl.connect(Unknown Source)
at java.net.Socket.connect(Unknown Source)
at java.net.Socket.connect(Unknown Source)
at sun.net.NetworkClient.doConnect(Unknown Source)
at sun.net.www.http.HttpClient.openServer(Unknown Source)
at sun.net.www.http.HttpClient.openServer(Unknown Source)
at sun.net.www.http.HttpClient.<init>(Unknown Source)
at sun.net.www.http.HttpClient.New(Unknown Source)
at sun.net.www.http.HttpClient.New(Unknown Source)
at sun.net.www.protocol.http.HttpURLConnection.getNewHttpClient(Unknown Source)
at sun.net.www.protocol.http.HttpURLConnection.plainConnect(Unknown Source)
at sun.net.www.protocol.http.HttpURLConnection.connect(Unknown Source)
at sun.net.www.protocol.http.HttpURLConnection.getInputStream(Unknown Source)
at java.net.URL.openStream(Unknown Source)
at hudson.FilePath$Unpack.invoke(FilePath.java:766)
at hudson.FilePath$Unpack.invoke(FilePath.java:760)
at hudson.FilePath$FileCallableWrapper.call(FilePath.java:2387)
at hudson.remoting.UserRequest.perform(UserRequest.java:118)
at hudson.remoting.UserRequest.perform(UserRequest.java:48)
at hudson.remoting.Request$2.run(Request.java:326)
at hudson.remoting.InterceptingExecutorService$1.call(InterceptingExecutorService.java:72)
at java.util.concurrent.FutureTask$Sync.innerRun(Unknown Source)
at java.util.concurrent.FutureTask.run(Unknown Source)
at java.util.concurrent.ThreadPoolExecutor.runWorker(Unknown Source)
at java.util.concurrent.ThreadPoolExecutor$Worker.run(Unknown Source)
at hudson.remoting.Engine$1$1.run(Engine.java:58)
at java.lang.Thread.run(Unknown Source)