for my 0.002 cents...
Don't download to ya desktop...

Recommended (this is assuming Windows xxx) create a folder in "My Documents" and call it (suprise) "Downloads".. Now if you want to be realy organised.. in this folder create a few others.. start with "Security Patches", "AO - Tutorials", "Toolz" .........
but if you mustput it all on ya desktop, Create a Folder on ya desktop and call it "Downloads" and move ya downloads there.
The error message is typical of Windoze.. it will come up if you try to delete any executable file.
k

Cheers