More detail about your scenario is needed:
Windows 7 doesn’t download anything, itself. If you are using a browser to download and it is a browser security message then poke around in the browser settinsg to see if you can see a setting to enable or disable to allow downloads. If you are in a managed network environment it is possible that the downloads are disabled by a group policy that cannot be overridden by the normal user and you’d have to take up your issue with your supervisor or network administration personnel.
Assuming you’re using Internet Explorer, you might also just try another browser, like Firefox or Chrome available that might have more relaxed security settings.
The source of the message should be somewhat obvious and whatever is issuing the message is the thing to tweak the settings of. This really isn’t a Windows Security forum so don’t expect anyone to give you click-by-click instructions for each browser type and version.
I also had a hard time installing LR4 since I'm using Windows 7 Ultimate. Thanks for the information ssprengel! Now I know why and what to do.
I also could not download LR4 using Win7 Pro and IE9. I also got the nonsense about using another browser because Adobe does not have programmers competent enough to handle one with adequate security. I have not really kept count, but it seems I get more security updates from Adobe than Microsoft. Wish these guys could finally get their act together and be able to handle one of the most common configurations. That's why I have it.
The security warning may be due to the fact that the file being downloaded is an EXE (an executable file) which would be prohibited by a different set of browser security rules compared to other files that might have a ZIP extension for example, so rather than the OP’s problem being an issue with Adobe’s incompetence, it is an issue with the local browser security settings.