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This has been mentioned, but I want to emphasize it.
Never, ever, under and circumstances, should you click the "RUN" button after a download when it is completed. (IMO, the decision to make that an option in a web browser should result in the person who suggested it being taken out and shot.) Always, always, always save it to your disc and then run it. The most practical reason is that you won't have to download it again if the install fails for some reason other than a corrupted download. However, there are security issues to be considered as well, but I won't dwell on the technical aspects of that.
From where I think you are now, you're basically going to have to download it again, and when you do so, save it to your desktop or some folder on your hard drive where you want to keep it. Then run the installer. As far as the security issue, this probably isn't a worry with a trusted site, but it's essential to get into the habit of saving and then running to avoid the potential security problems that could arise.
On the issue of being unprotected itself, in the FWIW category, it's entirely possible to form a set of behaviors that keep you mostly secure from virus infection without any sort of virus scanner. I *never* ran one all the time until about three years ago, and I have never had a virus infect my systems. (Been computing for 22 years. I've downloaded them, had them on my computer ready to hit me, but I've never executed one except on purpose on my "virus" box to test what it does and how to get rid of it.) I kept a scanner installed and would scan downloads and discs, but that's it. I mention this for one reason only, and that is simply to suggest you not worry too awful much while you're getting your virus scanner installed. I do not recommend anyone today go without a virus scanner of some sort if they do anything on the Internet but visit the same text-only website once a day, but at the same time, as implied above, it's a good idea to develop a set of behaviors that minimizes the risk in the first place. (Not running IE is one of those behaviors, btw. :-)) The virus scanner should be a backup in case something gets through those behaviors, such as a website being cracked and the crackers putting malicious code in it or an otherwise trusted file server getting infected with corrupted files.
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