The thing you downloaded would have been the installer so to clarify you cannot install VS because the installer won't run correct? Right click the exe and select Properties. If you see a checkbox that says Unblock
then check it and click OK. Then try again. Note that I'm assuming you are following the steps given here which includes a link to download VS and that you didn't download VS from some other site.
If that doesn't work then try downloading the bootstrapper from here and then run that. It'll download an offline copy instead.
If that still doesn't work then we'll need to look at the logs that it should have generated.