Vista blocks access to downloaded program files

I have Vista Home Premium.
I am attempting to install a program from a website. After
the .exe setup file is downloaded, a "Windows Security
Warning" box appears. The gist of the text is "Windows has
found that this file is potentially harmful to your
computer." Access to this file has been blocked."
I am not given the option to continue anyway. The setup
file simply becomes "invisible."
I would like to be able to download this program and run
it - can this be accomplished?

Thanks in advance.