Judging by the file size in your pic I'd think that your download isn't fully completed, or the program isn't releasing the file. Are you sure the download is actually completing? What directory are your downloads going to? What browser are you downloading with and if you close said browser before running a file, does this behavior go away? Also, I've seen AV/AS do this as well if it is scanning or has deemed a file bad and quarantines it as you are running it.