Now I'm really confused!
That web page specifically states that the download is an executable file which has to be saved to your desktop (or, of course, anywhere else you choose) and then run. i.e. it's not meant to 'auto-install' online. This seems to be in conflict with what you're seeing on your screen. (When I click the 'Download' button, I get a dialogue box asking where I want to save the file).
Suggestion 1: If you're using Internet Explorer, go to Tools > Internet Options > Advanced. Then check that, under 'Browsing', there's a tick next to 'Enable Install on Demand'.
Suggestion 2: Go to your firewall's log files. Check to see what's been blocked. If you see 'Adobe' anywhere in there, follow the relevant procedure for unblocking the site.
Suggestion 3: Try completely disabling your firewall for the short time it takes for the download. (The risk of anything 'nasty' happening in such a short time is negligible).
Suggestion 4: Try to download Download Accelerator Plus. Initially, this will test whether your PC is blocking all executable files or just Flash Player. If this download is successful, you can then try to download the Flash file while bypassing your browser's software.
Suggestion 5: I recently downloaded the file you want. It's still on my hard drive. Provide an e-mail address and I'll mail it to you.
Suggestion 6: Get a friend to download the file and put it on a disk for you.
Chris