If you downloaded the file, then opened it by double clicking, the operating system knows how to view inside the archive package you downloaded.
However it is still in a compressed state.
If you double click the installation file, the operating system is smart enough to decompress the file into a temporary folder and run from there.
However, if you are trying to right click and run as administrator, it may have issue with the file being in the archive state still.
Please take and drag a copy of the installation file out and drop onto your desktop.
Now that you have it in an uncompressed state, now right click and select run as administrator using the copy you have on your desktop, and it should progress with no issue.
For more details, please check the link: