You haven't got the necessary permissions to install the software.
You can get round this a number of ways:
1. Boot into Safe Mode (F5 or F8 at bootup), and then log in as Administrator.
2. Ensure that you have been granted administrator rights for the disk being installed to.
3. Install the software to a different folder that you do have permissions over.
Next time you try to download, select SAVE AS, rather than run, and then deal with the installation process as outlined above.