and are clicking on the Run button and not the Save File button.
try choosing Save File. (You may have to right click to see that option)
Save it somewhere that you can find it easily and you will not have to download it again.
I've been trying to update the iTunes software but it won't. It downloads an 88 mb file and then starts the installation. But it gets to the point where the little update window says "Installing 2 items", has the completion bar fully filled in and then below that says "running package scripts..." and just sits there and doesn't do any thing else.