admin. permissions lost. ?

i d-loaded a file from the web and saved on hard drive. my xp said cannot open file due to not having admin rights. but my one and only user account is the admin. so what am i missing i have been through it all and still it wont let me, i do have access to all other things but this. win xp pro, 733 mhz, 20 gig hd, and they want it now as normal, the d-load is morpheus from music city but i have tried another computer and that came out fine so if you can help? thanx!