I don't know, but this happened when I downloaded some brushes for Gimp, too. Something about permission to access the computer. I don't know, but it's really annoying every time I click "Save" in the little message box that it just creates a new file.
In the paper that says: Install: right click, click Install. Then right click on the desktop, click Personalize. In personalized look to the side and open an option that says change mouse pointers click there. Then click scheme is looking for and what you select.