Download doesn't launch

Hoping someone get help.  I bought Internet Security 2009 Monday night.  Since then I've tried to download and launch a bunch of times and always have the same problem - download seems like its working but when the desktop icon appears and I try to install nothing happens.  The download seems is only 661 km, and I thought it should be more.  I was without any protection for awhile so I'm not sure if I've got a bug or I'm just not doing something right, or if there's some setting I should change.  Any help would be great, this is driving me crazy.

 

Sheilah