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I just tried re-downloading it, but when I try to run it, it says something about Windows not being able to open the file, and something about sufficient privileges. It's very weird and I don't know what to do.

Is there like a Zipped version that I can download instead (like with all the files ready to be extracted?)

All the download is is a self-extracting archive, so all it is doing is extracting the file where you direct it to. I'd doubt using a zipfile would make any difference.

You don't say what version of Windows you're using, but check that you do have permission to write or create files in the folder you're extracting to. Failing that, you could run the exe with admin privileges.