
Reopening the file, again going to the end, you should see further indication that the download has progressed (or you could just track the modified timestamp of the file ).

Open the file and got to the end of it (Ctrl+End), this should indicate the progress of the current file that is being downloaded. The one for the "Android SDK Setup" will be named "AndroidSDK_SI.log" (or similar).

During the installation if you think it has hung (notably during the "Android SDK Setup"), browse to your %temp% directory and order by "Date modified" (descending), there should be a bunch of log files created by the installer.
