Yeya, this is a windows security setting you've hit, i don't think it's the default one, as more would run into it if it was, first try the easy method & save the installer to your desktop rather than picking run from current location..
If that fails, somewhere there will be a setting to allow installs that aren't digitally signed (i'm not sure where, i'm not a vista user) but i'd advise changing it from block (or whatever it is now) to "prompt" in which case this & any other installers you download that aren't signed, will put up a similar message, but it will have the option to "continue install anyway" (or similar) & this is what you need to do..