"cannot open file" error

[lavclan]

Hi. I am new to the forum world. I have LW Pro. I am able to photos, mp3 files just fine. BUT, when i download a program file, ie game or other software, it will download, which takes forever, then the zip file location opens, I extract the files, click on the setup file . . .
Then I get the error msg, "Cannot open the file, it is either corrupt or missing." I would expect this every once in a while since file sharing can be tricky, but I get this on about 95 percent of the program type files I download. Any tips? Thanks!