Administrator Permission while downloading

I am trying to download a file over the internet that needs to be placed into a programs main folder. Each time I do this I get a note stating that I need to contact the administrator for permission. Well, I am the administrator and I use an acct with those privileges. How do I activate the permission?

Don't know if this will come through but I'm attaching a screen shot of the denied message.

I just discovered one way to do it but if someone knows a more direct way I would appreciate hearing it. Hope this will help someone else though.

I loaded the file in a round-about way since it would not load directly to the needed Explorer program file location:
1. Downloaded file to desktop.
2. Checked the properties tab and saw it had some kind of blocked note placed on the bottom of the General tab.
3. Click on the UNBLOCK button.
4. Then I copy/pasted the file into the program folder location it needed to be in.
5. THEN my permissions confirmation pop-up came, I hit continue and it loaded.

THis is the first time I had this type of issue with downloading my files (at least since the first week after loading Vista Ultimate when I spent 3 LONG days working with call-in support!)