|Are you Saving the download as a file?. If not try that and double click the saved file to install. That will tell us where it is going wrong, if it does.|
Otherwise go to "Control Panel > Folder Options > View" and remove the check mark in "Hide extensions for known file types". After that let us know the name of the downloaded file including it's extension (probably .exe). Whether you leave file extensions visible is up to you but I think it is a good thing.
Always pop back and let us know the outcome - thanks