Eclipse will not install Android Support Library

I am an experienced programmer but new to Android, hence using Eclipse for the first time.
Unfortunately I cannot get my first project off the ground. I get as far trying to create the project when the following sequence happens.
A screen arrives titled 'Install Dependencies' telling me that the required version is 8 and the installed version is 'Not installed'
I click on the Install/Upgrade button and something must happen because Android SDK Manager pops up and I get a whole series of 'Fetching:' messages.
The next screen asks me to Choose Package to Install and the only option is Android Support Library, revision 10. This doesn't bother me as I presume 10 is better than 8 so I hit the Install button.
This is where it all goes wrong as I get a red message saying:-
File not found:C:\Program Files (X86)\Android\android-sdk\temp\support_r10.zip (Acces is denied).
Sure enough, when I check this folder, it is empty.

Now, something must have happened as as SDK Manager did a whole lot of fetching and must have put these files somewhere.

I am quite happy to find them and put them in the correct folder but the question is

What is the name of the files that I am looking for ?

Can somebody please help. I am sure there must be a really simple solution.

Thank you, Mike

Thanks Ramesh,

Problem solved as follows :-

My problem must have been caused by a dodgy software release (probably Android ! ).
In sheer desperation I wiped everything clean and started again. This time I noticed some differences.
First of all, the Android download was version R20.0.3, then this insisted on Java 32-bit whereas before I loaded 64-bit for Windows 7. Just to be consistent, I also loaded 32-bit Eclipse.
The only other thing I did differently was to completely set up Android with all the extra packages before even starting Eclipse.
Everything now works O.K.

Hope this helps someone else. Thread closed, Mike