sorry if this is the wrong place to ask this but my CCNA lecturer doesn't have a clue about SDM and it's been a while since I installed it from scratch also!
I remember I had the same problem on my Cisco 857W at home but can't remember the solution for it as I deleted it along time ago to free up more flash space since I am completely IOS based.
The issue is this: the router is a 2801 running IOS 12.4(3) IP services image and the SDM version is 4.2 if I remember correctly.
Now I have used the MS Windows MSI setup utility after uncompressing the compressed Zip file and told it to install on the router after creating a local vty uname and passwd.
The transfer went smoothly and SDM now resides on flash memory.
username privilege 15 cisco password 0 cisco
ip http server
ip http authentication local
I enabled the web server to accept incoming requests with local uname passwd authentication.
Whenever I try to login though I get as far as the login prompt of which I am then taken to another window that says it is opening another window and a little hour glass rotates for a few seconds then subsequently stops and doesn't do any thing thereafter!
I seem to recall that with my home based 857 I had to install a jre.bin Java runtime file into flash.
Can anyone give me a hint of might be the issue as the PC has the latest version of Java runtime installed and obviously has a fully functional 802.3 network connection to the router.
The reason I need to check out SDM even though a really dislike it is because the CCNA exam requires it so I need to know my way around even though it gives confusing results and is way slow and limited compared with IOS. Infact just like the Windows GUI environment compared to UNIX :-)