http://download.cnet.com/Stock-Screener-Lite/3000-2057_4-10496587.html

I couldn't find Stockscreener Lite, but found the above, Stock Screener Lite. is that the same one?

If so, it downloaded fine for me, SSLite.exe, file size 3.2MB. A very small file, it took literally 2 seconds. That suggests to me that this file is just a pre-installer and when you run it it will connect to the internet for the correct installer files, probably direct from;
http://www.zeebob.com/

What problem did you have with downloading?

Mark