When you are downloading any program or file from the internet, for example any antivirus program or an email attachment from your friends. Here you will get a dialog box with three options to Run, Save or Cancel. Basically this is confirmation from a user "Do you want to run or save this file", even you can cancel it to abort the downloading.
Here if you select the Run option, only the setup file is downloaded as temp file in your computer temporary internet folder and your computer run this program setup automatically without your confirmation or virus scanning. This is unsafe for your computer if you are downloading this program from any new or unknown source. But if you select other option Save, You can save this program on your computer in any location. Now you have the full source of program on your computer, you can scan the all program before open it. Normally you should select the Save option, if you are downloading this program from any free software sites. You have extra security layer if you save the setup file before run it.
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