You could be banging your head much harder if the file had opened.
Remember, you are downloading from someone else's computer via a network that is filled with bogus and often dangerous files, posted by they who wish to stop p-p file-sharing. That is why virtually every experienced user here would tell you to Never download a .zip or .exe file via Gnutella. After all, you never know for sure what set up.exe is going to do. The possiblilties are endless.
Before downloading anything you should consider using LW's link to Bitzi. Info here:
http://www.gnutellaforums.com/open-d...owse-chat.html.