Ensure that your antivirus program and/or firewall are not interfering with the download process.
After downloading it on Internet Explorer, are you saving the setup file locally or opening it directly?
Yes, Windows 7.
I have double-checked my antivirus/firewall.
It doesn't give me the option of saving or running. When I click the download button, a small window opens and it just starts running. Then I get the error message.