When you are downloading a file off the Internet you may get the option to "Run" or "Save". Either of these options will lead you to the setup for the program and install it on your computer, but the difference lies in where the setup file opens from.
I personally like to save it completely to my computer's hard drive in a download folder to keep track of the setup files. Then I open the file I downloaded to start setting up the program.
If your not that type of pack rat -- run them and make sure you don't do anything to interrupt the process of installing the program.