Some photo images downloaded to a desktop file, won't open

I get a permissions error saying I don't have permission to open it.  I don't know if that is a setting on my computer or the way we are
downloading/saving the image.
The web site, has no restrictions of permission they say.

Hit CTRL+SHIFT+DEL, change the dropdown menu to '''Everything''', checkmark '''Cache '''(uncheck the others) and then click the '''Clear Now '''button.
Then go to '''Tools '''| '''Options '''| '''Advanced '''| '''Network '''(tab) and in the middle menu, click the '''Clear Now''' button.
Next, go to Tools | Options | Privacy and click the Show Cookies button. Type Java in the Search field and then delete all the Java cookies. If you have a Cookie manager installed, make sure it's configured to accept cookies from java (dot) com.
Then go to the following link: http://www.java.com/en/download/manual.jsp
You want the online file which will be an .exe. See screenshot.

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    "Remove old and replace w/new 40GB HDD, also install new 512MB PC-133 RAM module in lower slot."
    "booted from old OS CD and ran Hard drive set-up utility with two partitions, one 30GB the other 10GB."
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    "Onto same partition, ran OS-9 Update 9.1.0, then 9.2.1, then fireware update 4.1.8f5, then Update 9.2.1"
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    "Moved all backed-up files from the external USB drive onto the second 10GB partition."
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