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IE help, can't run .exe but will run on desktop?

I did a program in c#, and upload it to a website.

http://www.***.com/name.exe

When I try to download, it I click on "run", it give me some kind of security error. BUT when I "save as" on desktop and run it, its fine. any ideas?
Wrong section I think...

What browser are you using, it or an add-on might be blocking the program.
Im using IE 7, I make the program in c#, and it like a web downloader.

Once someone open it, it go to a website and it download something and put it into the c:/*** folder and it run it.

It only works when I save as in the desktop, but it doesn't work when I just click on Run.