Have you selected 'Run' or 'Save'? With Internet Explorer 'Run' should work but with other browsers, such as Firefox, you need to save the setup file first.
Using 'Save' should work with any browser, so I'd definitely recommend that option anyway. Check where you're trying to save the file to; if you've accidentally chosen your CD drive (or similar), rather than a location on your hard drive, that would explain why you're getting a message telling you that the input/output device isn't working.
Once you've saved the file, double-click on it to run it.
If you're still having problems, tell us how far you get before the error message occurs.