Installing Degunking Windows

After successfully dowloading “Degunking Windows” (DW) I get the following message when I try to open the download. “Windows cannot access the specified device, path or file. You may not have the appropiate permission to access the item.” I am using Windows ME. Can you give any advice as to what to do in order to use the DW download? Thanking you in advance for any and all information you can provide.