what is this? and how do I stop it it is really annoying?

The install file for BS is ALWAYS there... Well, 'there' meaning that it will ALWAYS be in d:\blah\BearShare\Installer..........
You can spend as much time as you desire deleting it.
Start BS again at it will be there to say, 'Howdy', to you ! (Catch the Miami accent ?)

Now, you say that it is in your 'download window'... really ?

You sure you don't mean that you have noticed that you are SHARING it, whether you want to or not.

Big diff, huh ?

Maybe a bit more clear question from you would help ?