Can't install stuff from the internet!!!

When ever I try ton install something from the internet and then the
installer package come up and i click on it and it says this! "This
intallation package could not be opened. Verify that the package exists and
that you can acess it, or contact the application vendor to verify that this
is a valid Windoes Installer package."


I can install thing soff flashdrives and discs otherwise it doesnt work!!
Ugh please help