Could be a security setting on your system, regarding executable files downloaded from outside locations. If you right-click on the installer and select Properties, then switch to the General tab in the box that comes up, you might see at the bottom it will say this:
"This file came from another computer and might be blocked to help protect this computer."
With an [Unblock] button next to it.
If so, try unblocking it and running it again.
