Could you please paste error code? You also can check sortcuts properties.
Please take the screen shot of your desktop, where the icon is located.
Also let me know, the Version you trying o download and use.
Also check the control panel, if the adobe reader is installed or not.
You can also, try repair function in the control panel. Programs and features in windows 7.
Hope, this shoudl help.or else we will wait for your post.