Unity WebPlayer does not install.

First time downloading Unity WebPlayer. Windows 7. Saved to desktop, double clicked the exe file. Immediately get the following error message.

Error opening file for writing:
Unity\WebPlayer\UnityBugReporter.exe

Click Abort to stop the installation,
Retry to try again, or
Ignore to skip this file.

If I click Ignore, it gives the same error message for 5 or 6 more files and then quits without installing. What’s wrong?

Same problem here. Using Vista 32bits