When I try to download a programme onto my computer, a blank download Window appears in the top left-hand of the screen.also a window appears in the centre of the screen, asking me if I want to save the file.
When I click save, it goes into 'My Documents' and into a folder called 'Downloads' when I click on the appropriate icon in this folder a window appears asking me to 'Run' it.
It is only when I click 'Run' does it then start to load the programme onto my computer.
Why doesn't the programme load into the blank Download window in the first place, instead of going into 'My Documents'?
Not really clear what you are asking.
When you download any file (whether a program, music, text or whatever) it needs to be stored in a folder on your hard disk. Most browsers default to downloading into the downloads folder of the current user (though they can be configured to ask you). If you select Save, that's where it will end up. If you select Run, it will normally be downloaded to a temporary folder and then executed automatically.