Last time I used the Nokia's map downloader (admittedly this was shortly after it was first released) it was a complete abomination. It was horrendously slow (my guess is that it loads each file individually) and every time you wanted to add a country or something it would clear out all the downloaded data and re-download everything again. And worst of all you needed Windows to run it.

Downloading the maps from the links given in the link given by chris hale is the sane thing to do.