Most of the time when a download is started there is some kind of popup displaying the program that is requesting to be run, but sometimes that's not the case. If some browser settings have been changed it can be difficult to download programs that you need.
1. Hold down the "Ctrl" button located on the very bottom left of the keyboard. While Ctrl is still pressed tap the "J" button and release both, this is the keyboard shortcut to open the downloads folder on the computer.
2. Inside the box that opens should be a list of all the programs you have downloaded, you'll want to look through it to find the program that you just downloaded and wanted to run. (often things in this folder are ordered oldest to newest and the program you downloaded will be right at the top)
3. when you find what you were trying to download double left click it, this should proceed with the install.