your file may be corrupted or you're not an admin or Just turn off your anti virus. Wanna know something usefull. Create a friendly virus stored on your computer, close your antivirus and the virus in your pc acts as a repellant for all kinds of other viruses. This is soo my kind of thing.
The reason Windows 7 is blocking any file from downloading into your computer is because it thinks that they could be harmful to the computer. To get around with this, right click on the zip, click on Properties and then click Unblock. This will let you extract the file safely.