downloading third party executables

Every time I try to download and save an executable it appears to be saving the file then tries to launch (install) the application. When the install starts the installer pop-up displays momentarily then closes. Also the file that was downloaded is no where to be found. I have tried this with some known good applications like the iPod Updater from Apple and Filezilla. Any thoughts on what I need to do to properly download and intall third party applications with Vista?