When I do I am no longer on the web and can't finish the download.
The download is already complete when you are prompted to close IE; it is the install that cannot complete as long as Flash Player components are in use by IE. See also How to close Internet Explorer and other programs running on Windows?
Tried to install flash player again. It installed but I can't find it anywhere on my computer and I still get the " you need to install flash player to view this video" pop-up.