The security settings in your web browser can stop you from downloading files from the internet. Check your settings and open up for downloading the installation file. How you do it may vary slightly between the different versions of the web browsers.
Extract from the text on Microsoft’s help page:
“About download and security warnings
When you download a file, Internet Explorer checks for clues that the download is malicious or potentially harmful to your PC. If Internet Explorer thinks a download seems suspicious, you'll be notified so you can decide whether or not to save, run, or open the file. Not all files you're warned about are malicious, but it's important to make sure you trust the site you're downloading from, and that you really want to download the file.
If you see a security warning that tells you The publisher of this program couldn't be verified, then Internet Explorer doesn't recognise the site or organisation asking you to download the file. Make sure you recognise and trust the publisher before you save or open the download. Learn more about how SmartScreen helps protect you and Certificate errors that might cause you to see download warnings.
There are always risks to downloading files from the web. Here are some precautions you can take to help protect your PC when you download files:
•Install and use an antivirus program.
•Only download files from sites that you trust.
•If the file has a digital signature, make sure that the signature is valid and the file's from a trusted location. To see the digital signature, click the publisher link in the security warning dialogue box that opens when you first download the file.”
Read more on Microsoft's website here: