Download and Setup

Hello,

I'm not sure if it is just my computer but whenever we download something it will either download quickly or take literally 10 hours. Anyway when it downloads quickly, it will say setup or something, but when we click on it, it does not setup.

What do i do?
How do i fix this?

We have iPod's and can only put music on them when we go on someone else's computer, so we cannot, LimeWire or any other download.