PC model number?  Always include that on any initial problem post.  Too many different Dell models.

Doubleclick on the exe file is all that is required, assuming the downloaded file is not corrupted and it is the correct version for your specific model.

FWIW, support assist has caused some users problems and many have uninstalled support assist and manually check the Dell downloads for their model for any "Needed" updates.  Using the support assist for BIOS updates in particular have caused problems. 

Support assist does not support all dells all model years all the time always. You must be logged in as an administrator to download and install Dell SupportAssist app on your Dell PC.

Support assist no longer works with older models.

This also requires

• Microsoft .NET Framework 4.5 or higher
• Firewall or anti-virus exceptions (meaning you may need to remove these to install the current app.)
• Download the Microsoft .NET Framework 4.7.2 offline installer package now for all Windows operating systems:

http://go.microsoft.com/fwlink/?linkid=863265

Support assist requires the last version as there are security issues with older versions.

CVE-2019-12280, was discovered in Dell’s SupportAssist application

Resolution:

The following Dell SupportAssist for Business Systems

and

Dell SupportAssist for Home PCs release contains a resolution to this vulnerability:

• Dell SupportAssist for Business PCs version 2.0.1
• Dell SupportAssist for Home PCs version 3.2.2

Manual Update

To update manually, download and install the latest product version from:

Dell SupportAssist for Home PCs
https://downloads.dell.com/serviceability/catalog/SupportAssistInstaller.exe

* Click my DELL-name and private message me the following information =
- Computer Service Tag number
- Operating system
- Your shipping address, phone number, and email address

Awaiting a response to my previous reply asking for the data.

Try R-clicking on the exe file and 'run as Administrator' to get it to install. This seems necessary as well as clicking the usual "Do you want to make changes to your machine" message.

To follow up, I found this Support Assist version 3.3.3 a pig to install and get running, the other key factor seems to be re-starting the system after cleaning out any earlier install trials. Good luck anyway!