1. After you hit Install you'll see the status bar notification. If you quickly expand the notification bar and press on the download in progress it'll take you to the download screen where you can press Cancel.
2. The Market will update itself; if you look in All Applications there is one called Market Updater.
That's strange. Don't know if the results would be the same or not but if you hit Install, press the Menu button and select Downloads, it will refresh your list of downloaded apps, showing the one currently downloading at the top. If you press on it, it should take you to the app's information pane where you can hit Cancel. Obviously you may not have time to do this depending on the size of the app unless the problem you're having is that it simply won't finish downloading.