During download, Windows asks you in which Folder on your hard drive the installer should be saved. Instead of a folder, you can choose the Desktop for convenience. After downloading, use the Explorer to locate this folder (or desktop) and start the downloaded installer from there.

The setup comes with a good uninstall (startmenu-configuration-software). For test for no virus see at McAfee.

If you have download problems i.e. a corporate firewall download these links: Light of Advanced and change the extension from xxx to exe.