First, a distinction. Downloading is copying a file from one location to
another. What you are doing is installing. You can try installing in
compatibility mode for XP. To do this, click start and type "program
compatibility wizard" into the search prompt. Use the entry now showing in
the start menu to try installing the software.
For some programs, you simply may need elevated privileges. Right click the
setup.exe file and select the option to 'run as administrator'.
Be aware as well that while the above workarounds may resolve some issues,
the best solution is to use a Vista-compatible version from the software
vendor.
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