When do you see this message pop up? How are you trying to run the installer?
The default downloads folder is "C:\Users\<username>\Downloads", note the "s" at the end. Did you create this folder yourself? If so, there may indeed be a permissions issue.
If you're running antivirus software that may also cause issues, if for some reason it flagged the file and put it in quarantine (the installer is perfectly safe, at least if you downloaded it from the official VoiceAttack site, but unfortunately heuristics engines can consider many things suspicious, erroneously).