a. "Save" or "Save ... to disk" (usually preferred) OR b. "Run..." or "Open..." the installer?
a. Choosing "Save" or "Save ... to disk" stores the installer on your computer. You run it later to install the actual program.
Advantages:
The installer remains available for possible installation on other computers or if you decide to reinstall in order to revise your initial preferences.
You can scan for viruses before installing.
b. Choosing "Run..." or "Open..." runs the installer immediately. Advantages: