If you're trying to download new or update installed packages/themes from the Orchard Gallery, you may receive the following error once you click the "Install" link:
The remote server returned an error: (404) Not Found.
This doesn't really explain much, but it's because the feed moved a few months ago in November of 2011. The feed moved to:
To fix the error, log into the admin panel, go into Settings, Gallery then add the new feed (http://packages.orchardproject.net/FeedService.svc) and delete the original feed.
Do note, the feed URL is case sensitive, and is typed properly above