When Ant was upgraded to 1.8.3 in February, they broke the links to the previous version of Ant. If you have a current version of NME, this should be fixed.
Otherwise, it's pretty simple to install yourself. Download Apache Ant, and extract to a directory. I use a directory like "C:\Development\Android\Ant"
Then you can run "nme setup android" again, and write "n" when it asks about downloading Apache Ant. Instead of handling it automatically, it will ask for a path before it is done, so you can manually specify the directory where you installed it