Your machine has to download the file before it can run it.
Either you're trying to run the file from the net or your browser is set to run all executable files you click links to (incidentally, that's a gaping security hole).
Your system has downloaded something. The question is what that something is, and I don't have a crystal ball here.
Nobody is telling you to open the problematic file, just download it to your system and pass me a copy so that I can figure out what is going on.
Incidentally, have you tried to download it with another browser?
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"God. Can't you people see I'm trying to commit a crime against science and nature here?"
-- Reed Richards
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