CoffeeMan,
Never run an installer file directly from the site.
Download the complete file and save it to your PC. Either in the Desktop of a specific folder. I like to keep the downloaded installer file in nicely labeled folders in case I need to use them again. With iTunes and the iPod Updater software, it's good to have back issues if needed.
Once you download the file, close all running programs, as well as those TSR programs that appear in your System Tray: like virus scanners, firewalls, spy sweepers, popup blockers etc, etc, etc. This will wreck havoc with an installer's ability to successfully complete.
After installing one file, reboot, disable all the TSRs again and install the next file. Repeat until all programs are installed (in the case of several downloads).
Post back if you need more info,