You should check your firewall. See if your operating system (ie. XP) has a firewall that's separate from your installed antivirus program.
If so, make sure the site with the games is allowed on your firewall. It's likely that downloads are blocked on the firewall from that site.
Perhaps the game you are trying to download viral. And your computer's antivirus program tells you this. Before downloading, make sure that the program is safe for your computer. Or you can lose all the data.My phone won't send picture messages??
I also think that the reason may be to protect your computer. Either the program of the game you want to install is damaged. In any case, be careful. Maybe someone wants to steal your files. I once installed a program too. Then many files have disappeared. I recovered files using DiskInternals Uneraser . The program works with WIndows