I suppose you use IE. Then don't run from the current location, but save to the hard disk, then run it. This would circumvent most security settings. If problems persist, tell if they are during the download or later on when you run it. If it's during the download, see if you can download it elsewhere and burn it to CD or copy to USB-stick, and run it from there to install.
Hope this helps.
Been using Firefox for a year or so now and yesterday I tried to download the newest version and I lost Firefox completely. I tried to remove it and reinstall but I still could not open it. System restore did not do the job either. I found directions from John Wilkinson to remove Firefox and backup Bookmarks and I removed Firefox as per his instructions. When I try to reinstall I get the message that my security settings will not allow me to install. I disabled Zone Alarm and lowered my security settings but still can not reinstall. Can anyone tell me how to get Firefox back?