Thanks for the reply, in the interest of others, here are my results.
Have you tried downloading eset from the manufacturer instead of from a shareware site ? Yes, Tried that, no luck.
I also tried another computer on the same internet connection, that down load worked, (I could have just used that file maybe on to the other machine in hind site), so that indicated it was a particular computer issue.
Usually a Trojan causing this. The detectors are generally smart enough to know that you are trying to kill them and know to look for the files with that name... try changing the name of the DOWLNOAD AS to something totally retarded and them rename it after it's downloaded to something like bobby.msi
This worked.
Thanks for the replies
EDIT: I did have 2 Trojans, NOD32 picked up after the download, AVG free did not pick them up. But Eset NOD32 is only free for 1 month then cough up the coin.