No harm done. If you want to uninstall it, go to Control Panel, Add or Remove Programs, and remove it.
BTW, you should be able to download it without installing it. Just chose to Save it, not Run it, when you download.
This exercise proved my point, that you can download some files. This may be an issue to raise with your ISP. You might also do some more testing. Visit download.com and try a larger file.