Vista - Vista blocks access to downloaded program files

I have Vista Home Premium.
I am attempting to install a program from a website. After
the .exe setup file is downloaded, a "Windows Security
Warning" box appears. The gist of the text is "Windows has
found that this file is potentially harmful to your
computer." Access to this file has been blocked."
I am not given the option to continue anyway. The setup
file simply becomes "invisible."
I would like to be able to download this program and run
it - can this be accomplished?

Thanks in advance.

"GO" <theotts@xxxxxx> wrote in message
news:B57C7F98-2964-45DD-B9DA-CD2A56EA7514@xxxxxxhttp://itsvista.com/2007/01/itsvista...apps-on-vista/

"Mr. Arnold" <MR. Arnold@xxxxxx> wrote in message
news:epNAhVkMIHA.4584@xxxxxxThank you, but that isn't the problem.
This particular security warning prevents me from executing
a downloaded program file at all.
I cannot install ANYTHING on this computer that has been
downloaded. It is simply blocked, with no apparent means to
gain access; e.g. searches of the HDs do NOT find the file
so that I may choose to "run as administrator."
I can't possibly be the only person who has encountered
this?

"GO" <theotts@xxxxxx> wrote in message
news:BAC1F224-0528-4127-9230-E281F13626C4@xxxxxxAny file that you download is going to be blocked from execution until you
unblock the file based on the information in that link, if it's an
executable file.

I have downloaded a few files on Vista. What I did is made a directory like
*GO* and tell the download that's where I want the file saved. Then I
right-click the file and use the *Unblock* button if needed.

If you want to find a file with Vista's Search, then you use the Advanced
Search, check-on *Include non-indexed files* that tells Vista's Search to
look at all files. The Vista Search if not using the Advanced Search, only
looks for indexed files. If the file is there when using Vista's Search and
you use the *Include non-indexed files* option, then Vista Search will find
the file. You right-click the Start button and select Search, select Adv
Search, check on Include non-indexed files, select Location and select the
drive letter to search.

"Mr. Arnold" <MR. Arnold@xxxxxx> wrote in message
news:%23PhWvvvMIHA.1208@xxxxxxThank you!
I can now locate the file. I did encounter another problem,
but I think it was to do with the program file.

First, I saw no option to "Unblock" the file when I
left-clicked on it, so I chose "Run as Administrator."
About halfway through the installation, the program reported
that it couldn't find a necessary component.
I very much appreciate your patience with such a rank
amateur as I am.