Download problems

[drewcrew73]

Everytime I try to download something from the internet, wether it be wallpapers or a program like itunes I get the normal download box with either RUN or SAVE as an option. I click on SAVE and I can't pick a location to save it, it just starts to download. Then I cant find the program afterwards. If I click run it just downloads then nothing. This is really piddling me off any help would be appreciated.

 

[drewcrew73]

Also when I try to do the good old right click, SET AS BACKGROUND it always says access denied. I thought that it was just protected material but it does it for everything.