There could be many causes to this issue. For example, if the Internet connection isn't stable, then you will encounter download errors and downloads will be interrupted. Try closing all background applications and then download again. Save the file to your desktop and right click it. Choose Run as Administrator and follow the installation instructions. Once everything is installed, right click on desktop, choose Personalize and click the Screensavers section. You will find the newly installed screensaver in that location.
