PerX Problem

I've noticed that PerX.exe doesn't like to work on my computer.
First I shut off ALL Firewalls to be sure that they are not blocking
the download or removing parts of PerX; then I download it. Once
downloaded, it appears on my desktop once the download has finished.
The one problem is that the PerX icon does not show, only the default
EXE icon comes up. I open it and get some error saying that the file is
incomplete. Now here's the thing, I downloaded the exact same PerX.exe
on my other computer and it works perfectly fine! I've tried multiple different
links from MPGH (here), and many other googled websites. If you have a solution
please post, I will be checking this frequently for any suggestions.

Thank you.