It should give you a set up box after the download... click on it. After that, set up wizard should do the rest. Just follow instructions.
Hope this helps:
http://answers.microsoft.com/en-us/windows/forum/windows_7-windows_programs/cant-install-software-downloaded-from-the-internet/c299f7a4-39ae-4234-a045-5e9a1a5e6469
This is a Simple Dialog Demo.