Are you getting this message while attempting to download the installation file or when you attempt to use the installation file to install the application?
If you are choosing Run from the browser download notification choose save or save as instead then after it is saved to your hard drive right-click on the file and select Run as Administrator.
Are you using an administer account when attempting to download/install the application?
Let us know how it goes and/or if you need more help.
-Richard