Uh, that was my next bit of advice and to copy/paste here what it said on the status box. I DO inform you on the Browse folder page,
"Be sure your Internet connection is available as Setup will attempt a one-time download for yscXXXX.zip if needed." ... Some things you don't have to read like the license page, but that wasn't one of them. Anyway, congrats.
EDIT: Hm, that got me thinking though. Too late now, but that would've been a good update for the latest Ys II patch to force a dialog box if your Internet isn't available and it never got a chance to download the needed zip from Falcom. Oh well.