By "Download" do you mean "Install"? Open My Computer, open the DVD/CD player, run the setup.exe file from there. Make sure the disk is seen, maybe try the disk in another PC.
When you "Download" something, means you get a file(s) from the internet generally. You "Install" programs to the computer. Just like "Reboot" does not mean "Image" or "Re-install" which another computer term used in the wrong way. Based on your install wizard comment it sure seems like you are not downloading the program.