Precisely what I've tried to do. But when I double click the file it tries to open with Winzip, and then the error. ?
Sorry, but if Winzip starts when you double-click on an .EXE file, than something is very wrong, you might have had a corrupted download, which is not yet named .EXE because it's unfinished.
Have you tried clearing your Browser cache before re-trying ? Because, otherwise, you'll keep getting the same corrupted download over and over, because the browser has cached it.