FH + has off and on problems so might take a thought before using it just yet, hopefully things get fixed. But as for your problem, that is your firewall. Mine does that with some programs to. I use Norton and mine throws the file into quarantine and i have to restore the file. Then when i double click it it works fine
So you can possibly disable your firewall when downloading it, or finding it in quarantine safe files on ur firewall/virus program