You're using firefox?
During large downloads, it saves the file as file.exe.part until the download is finished, then it removes the .part off of the end. This way it can 'pick up where it left off' should the download get stopped somehow.
For some reason, it's not finishing the download. Go into your download manager and make sure all files are clear. Then close Firefox and make sure all .part files are deleted. Now try to download it again.
If it keeps doing it, try changing the download folder to something else.. maybe the desktop or just in drive C: or something.