Hi,
I would NOT download anything which I don't know then hit RUN. RUN is not a program, it is a command to "run" a program. Now you don't know where it is. Have you thought about a virus ? Anyway, where do you download it and is there anu reason which requires you to run ScreenSaver ? Did you know ScreenSaver won't save your modern screen but destroy screen quicker ?
Regards.