Are you downloading the file from this page?https://www.familysearch.org/products It should work correctly. If it does not, please call the local toll-free number for your part of the world (1-866-406-1830 for North America) and ask for Product Support.
If you are using Internet Explorer, it is easiest to click Run both times you are asked. With other browsers, you will need to Save and then Run the saved file. It should install correctly on all 32-bit and 64-bit versions of Windows from Windows98 to Windows8.