How to solve the downloading error ?

Hello,
I don't know has anybody ever experienced this problem or not, but I am unable to save iTunes onto my laptop. I have downloaded it at least 5 minutes ago. When the downloader asked me to save the software,
I saved it on the desktop. But on desktop, I found nothing. Then I thought may be I made any mistake. Then I downloaded the software again and I saved it on the desktop. But, this time I realized the weird problem. Without ITunes I am unable to set up my ipod nano which I brought someday ago. I tried to find out the ITunes in my whole hard disk whit search option, but it gone to vain.
Any body, please help me in this case. I use windows vista (If it is need to you)
Thank you
