My Computer doesn't open up downloaded file!

Hello,
Everytime I Download a file from the internet and I save it to my desktop or click run, the setup or program never opens or runs...and I think it has something to do with my security settings in my web broser, I have Internet Explorer.
Another thing that happens and this is where I got the theroy my security settings are wrong is that when I went to download adobe flash player, the pop up came up and I clicked on "Do you want to install these add ons from this website" A few click noises later another pop up appeared saying it couldn't open up the files because of my security settigns.

I've tried reseting my intire settings for Internet Explorer but nothing changes...PLEASE HELP!!
I would love to know why its not working, i've looked on the web everywhere and I can't find anything to do with my situation.