This is a known issue in release R2015a. Logging out and logging back in should resolve the issue. In order to log out and back in, please follow the following steps:
1) Close the Support Package Installer.
2) On the Home tab of the MATLAB R2015a window, click on "Request Support".
3) On the top right of the dialog window that opens, click on "Log out".
4) Click again on "Request Support" on the Home tab of MATLAB R2015a.
5) Enter your MathWorks Account Log In information and check the box "Keep me logged on".
6) Close the "Request Support" window by clicking "Cancel" at the bottom right.
7) Open the Support Package Installer and re-try to install the Support Package.