I would recommend downloading the file before running it. As pressing run puts into the temp folder you wont be able to install uninstall later if something goes wrong. And I am sure you would not like to download it all over again.
And use a download manager so that if the download is slow or stops for some reason you can resume it later from where it stopped rather than downloading the whole thing again. Plus most download manager try to make sure their is no file corruption and they are getting the actual file from the server not some something broken in the cache or temp folder.