First of all, what did you download?
Also, try right clicking the download and run as administrator.
Double click the setup and select "run", Its pretty straight forward from here~ :)
If it won't open try what Eclipse said, if no improvement, then try this: http://www.feral-heart.com/index.php?option=com_jfusion&Itemid=2&jfile=index.php&topic=41721.0 (http://www.feral-heart.com/index.php?option=com_jfusion&Itemid=2&jfile=index.php&topic=41721.0)