Dave,
I don't understand what the problem might be. I just tried the download. When presented with the list of download sites I just clicked the top one, download.com, and downloaded it. I chose to Save it to my hard drive.
When the download was done, I clicked the Open button in the download window (I have mine set to not close when the download is done) and the zip file opened just fine. So I double-clicked the installer in the zip file and it launched fine.
Then I went and looked in the folder where I told Windows to save it and it was there. Clicked the zip folder and it opened fine. Clicked the installer and it launched fine.
I don't know what to say.
Only two things come to mind. Either there was a network problem between your computer and those sites or there is a problem on your computer.
As far as the shortcut in your Recent folder not working, that might not mean a thing. When files download to your computer, they always download into your Temp directory and then get renamed and moved to the destination folder you selected only when the entire file has been transferred to your computer.
Speaking of your Temp folder, if you want to clean up some space on your hard drive, you can go in there and just delete everything.
In XP it's in C:\Documents and Setting\[User Name]\Local Settings\Temp
I haven't taken the time to figure out where it is in Windows 7 (or Vista).
...ken...