That's the first .exe file in the list (and the only one actually). I'm betting some sort of virus protection doesn't like having a program download .exe files. EDIT: yeah, exactly what cmp has said months ago. Alternatively you could also try putting the program to c:\ root or whatever that's not program files and see if Windows just doesn't let it put .exe files to program files. That's remotely plausible.
Anyway, I also updated the downloader a bit. It now has a checkbox to ignore checksum mismatches. That should theoretically let you download cRPG, but I'm betting WSELoader.exe will be corrupted or just not there at all. However if the checksum error was caused by the file not being created at all, it will still top the update process.
Technically the checksum error could be caused by either corrupted file or file not being created at all so I also added a new error check and a better message for the error you got. So if you happen to run the downloader again, please gimme a screenshot or just copypaste the text line or lines so I know what exactly causes the problem.
It's available at the exact same link in the thread.