Windows will not tell you if the file is incomplete. You probably need to flush your browser cache and try the download again. Rename the old file to something.BAD and when you download the new one, compare the sizes. If the installer launches, and you never get the splash screen, the file is corrupted. To flush the cache on Firefox, go to Tools > Clear Recent History. For IE, it is in Internet Settings.

I had no problems with 2 recent downloads.