If you hit error 0x80cf401b or 0x80cf0438 when attempting to install the Windows Intune client, disable your proxy or use a network that is not proxied.
In addition, after the Intune Client had been installed, I ran into several other errors that you might also run into. Always check for log files in c:\program files\microsoft\onlinemanagement\logs
The solution to below errors was Continue reading Windows Intune Client on Windows 7 errors 0x80cf401b or 0x80cf0438