Setup.exe problem

Ok I have been trying to download some new games since i get bored easily. So I download them in a zip file off of limewire. Whenever I extract these zip files to my desktop for easy accessibility all I get is a file named "setup.exe" I will then double-click on this setup.exe then get the following message "Windows cannot access the specified device, path, or file. You may not have the appropriate permissions to access the item." Did I do something wrong or put something in the wrong file or something. If so can you please help me. Also I am using a XPS 630i gaming computer if that helps at all. Thank you.