Internet DLing

[Dark4epson]

So i ordered all new computer components got a new case and everything put it together, loaded XP on and now whenever i DL a file off the internet then try to load it "like for say firfox after it DL's and then i try to run setup for it it gives me this warning ( An error 1006 (000003EE) has ocurred.
Last perfomred operation was:
opening the self-extract archive.
Try to DL setup file again.
if u use explorer try clearing its cache before redownloading.

And i have tried reloading after clearing cache and same thing happens. Also if i go to my brothers comp and DL the same file to my jumpdrive then move it to my new comp it runs setup just fine. :( help me please i have tried everything.