Error after download

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So I downloaded the net 3.5 SP1 and then clicked to download the character builder. When it asked I clicked the Save button. Then when it downloaded that, I clicked on the character builder icon to open it.

When I do that a webpage opens and says if it doesn't start downloading click this link. Also an ActiveX icon pulls down, so i click on that and say download. As soon as I do that, it says webpage cannot be displayed...

Anyone able to help me out and tell me what I did wrong? Any help would be awesome. Thanx