The first step is to uninstall app that can't be downloaded( in Market Downloads-section you can uninstall it). After that Press your "Home" button to go to the Desktop of your phone.
Please press "Menu"-Button. Then select "Settings". After klick on to "Applications", then "Manage Applications". A list with your currently installed apps will show up. Please search for "Market"-App and klick on it. There you will find a button called "Clear Cache". Press it and after that press the second button called "Uninstall Updates". Now reboot your phone and start the Android Market. Now you can install the app . This should fix the problem. If not, feel free to ask or leave a comment. Thanks.
(The Android Market will re-install all updates required for Android Market automatically)