Assuming you are using Internet Explorer, save the file then open it. I've had permissions issues before with some programs if you just open, not saving before. Reason being is when you simply open a file, it gets saved to a temporary system folder (Temporary Internet Files). This is a protected folder, so clicking "save" dumps it in the downloads folder instead (which is in your profile folder and thus not protected).

What browser are you using to download this file? Is it a suspicious file type, such as EXE the browser or antivirus software might be blocking due to a malware scanner?

If this off topic put it in the off topic section...