"No right" to run a pw recovery program

On a new PC with preinstalled Vista Home Premium, I tried to install
the password recovery tool Revelationv2 from www.snadboy.com. It
failed with the error of not recognizing some helper dll.

Then I tried to copy the main revelation.exe from a usb stick to the
desktop. But it refuses since I "do not have the right to do so".
However, that does not happen with other exe files. I even cannot
look up rightclick - properties - security.

What control in Vista may be responsible for this restriction?
Thank you, Aristide