Windows server by default has many restrictions, and security options enabled. One such feature may cause some downloaded files to be locked.
For example, if you download an installation file from some unknown source and try to execute it, it just won't start, and it would look like nothing is happening - this most likely means a file is locked by the system. You can resolve this by following these steps:
Press the right mouse button on the file that isn't opening;
Select "Properties" from the list;
Select tab "General";
At the bottom of it you will see the following:
To unlock the file, simply check the "Unblock" checkbox and then apply the changes.
Once this is done, you will be able to install the software or open a locked file.