Thanks for pointing this out. This is a bug in the current version of osu!, and will be fixed in the build tonight. Please try again after updating in ~5hours time from this message.
Technical details:
The directory that is trying to be created by osu! when extracting this file contains an invalid character ':'. Therefore its tripping up badly. I'm surprised noone else has noticed this one yet! If you wish to play the song now, rename the osz to a zip and extract it to a new folder in the Songs directory.
