It is always risky to "Download & Run" files from the internet.
Instead, "Download and Save" the file to your hard drive; I always use my Desktop as a temporary storage area. Then you can scan the file with your anti-virus before opening it.
I suspect that doing it this way may also solve the "no internet" problem.
I recently tried to download some file off of CNET, something i have done sucessfully in the past on my home pc. However, when i tried to download something onto my laptop, it loaded, asked if it was ok to open this, i clicked run and then a message popped up saying i had no internet connection or the firewall was blocking it. my internet was connected however and i even turned off my firewall and tried again. i checked for proxy's as well but there are none. Please help!