If you're using IE go to 'tools>view downloads in the bottom left corner click on 'options' select browse and then somewhere in the list it should say 'my downloads' select that and click ok
In FireFox it's 'options click on the 'general' tab halfway down the page select the show download box etc them select 'save files to' then 'browse and then 'my docks' click ok
That will ensure all down loads will go into the download folder and are easy to find again when you get the file in the fplder try right clicking on it and select 'run as administrator) (I think that option is available in vista but not certain) and see if it will install then.
PS make a note of the file name as you download it as they are not always obvious as to what they are.