That sounds odd, usually it is program files that viruses prevent from running. The downloaded setup file for MalwareBytes is a program (EXE) - an install program.
Try changing the extension of the "downloaded file", in exactly the same way as already given in #7 (to BAT or CMD or COM).
If it installs using one of these alternatives but then won't run, change the mbam.exe file extension (in Program Files) in the same way, to see if you can get MalwareBytes to start by double clicking the actual file.
Both the download and the mbam.exe program file are designed so that they will run on any of the alternatives given, in order to circumvent virus activity.
Always pop back and let us know the outcome - thanks