I know exactly why it happens, but not what causes it.
My guess if you downloaded this recently and didn't follow the instructions EXACTLY.
You are told to close all other programs before installing the download - and that means your firewall as well.
If I am right, uninstall IE7 (your old version will be intact) and reboot the pc.
Now download, but before installing close down every single program you have running. There is no reason for you to stay connected to the internet if you are worried.
Especially be sure to exit and close your firewall.
Now install.
When it is installed, restart your firewall and all should be well.