I do not agree.  You should be able to download anything, DOS, WIN16, or even UNIX apps.   I believe the error refers to the program being used to do the download, not the the download itself.  Since it, the download application is running on the PC and not what is being downloaded.  Which brings us to the first question,  What are you trying to download, from where, and what application are you using to perform the download.

Now we are getting somewhere, slowly.  Downloading is not where you see the problem.  I am making two assumptions you are running XP and at some time in the past you were able to download and install.  Question - what application are you using to download?  Question - assuming you were able to download/install in the past, are you using the same application to download as before.

To RoHe - actually no, I was not reference Denny,s website.   His tool says "

When users attempt to start an MS-DOS based or 16-bit Windows application in Windows XP an error similar to: "

Since his tool is to make Win16 bit and DOS programs run on Windows XP and since ZoneAlarm is a 32 bit application, I am of the opinion that the tool is not appliciable.

Please be specific which installers are currently 16 bit apps.  I am unaware of any, but that doen't mean anything.  The question of 64/32 bit apps is very may be different, it is a hardware issue whereas the issue of 32/16 bit apps is a software issue.  All processors since the Intel 80386DX were 32 bit processors.  A 32 bit app on a 64 bit processor must run in either legacy or compatiable mode mode since the instruction set in 64 bit mode 64 bit processor is not a true superset of the 32bit instruction set.  According to Intel documentation 64 bit Extension Technology Software Dedvelopers Guide volume I in 64 bit mode there is no AH, DH, CH, BH registers, nor are their the eight added general purpose registers. R8 - R15. 

I absolutely agree, there is no downside to trying.