Vista - permission required access denied for .exe file

Hey, I've read all over the place how to fix this issue and I can't seem to correct it.

I am trying to download a .exe file from rapidshare.com, but everytime I try to download it I get a Permission required message. I click continue and it tries to download it, then it gives the error "Permission Required Access Denied". I own the laptop, I've made sure that I am the administrator, that there is no EVERYONE, and made sure the sharing and security recognize I have full control. I even tried downloading it to other folders and no go. I even put into RAR format, downloaded it that way, which worked, but when I try to extract it it gives me a permission error or some crap in WinRAR....I'm just frustrated. It's such a tiny file and I've downloaded it on my other computer which has XP with absolutely no problems. PLEASE help!

Oh, I'm running Vista 32bit on a laptop if that makes any difference.