I had this happen too, I just thought it was one of the bugs that this phone currently has. I had my first Captivate and it did this, it also started to have the random shutdown that others have experienced. I exchanged that one last Wednesday and the second one has not had any random shutdowns and the apps have all downloaded smoothly as well, it also seems to have a battery battery life too!
When mine did this, I would usually click on the app again in the market and it would show that it was installing and when I would click cancel, it would show it completed, weird I know.