What OS are you using? If it's Win7 or Vista try Right Click > Run as Administrator. Also if you have any anti-virus software add it to the exceptions list as some anti-virus will recognise it as a PuP (Potentially Unwanted Program) and a block it.
Either the file got corrupted whilst downloading or you don't have permission to run it. Try re-downloading it but save it to your Desktop or somewhere you will definitely have permissions to (like your documents etc). If you get the error again and you are on an administrator account (just to double check, you are logged in to an Administrator account?) then try disabling any anti-virus software if it's present.