Can't Open (run) .exe Files

Good Morning! I'm thinking if anyone can solve this very difficult problem it is Major Geeks Members!
I can open any .rar or .zip file that comes to me and they will install. Every time I try to download an .exe file the run screen will come up but when I hit the "button" to install I get the following message:

"A required privilege is not held by the client".

I've tried running it every way but it just won't go! I'm thinking I'm missing something in Windows but don't have a clue what it is.

Dell XPS 8900, W10 Home version 1703, i7-6700K CPU @ 4.00GHz 4.01 GHz, 16 GB, 64 bit OS.

I'm hoping someone can help me???

Thanks, Dianne
PS Tim W, I don't know if you do this, if not please pass to some one that does? Thanks (Tim sent me to this forum).

 

Give us one or two examples

 

Hi DavidGP, I cannot run secpol.msc. It's out there in my WinSxS directory (in fact there's 2 of them in different places) but I can't get near either one of them. Any ideas?
Thanks, Dianne

 

Hi! I just downloaded a game from from Game Giveaway of the day and it was a .zip file. ran, installed fine. I tried downloading a program from Giveaway of the Day and it got as far as the
Do you want to run this file screen, I press yes and the error comes up. It won't install.

 

You need to save the file to your downloads folder and then run it.

 

Give us the actual url of the file (copy the contents of your address bar while on the download page).

 

Op has done that - see attachment in #5

 

Good Morning. I'm sorry I couldn't respond earlier but I was in another state (not of mind HA!HA!). Today is a good investigating day because I downloaded 2 programs, 1 was a .zip and the other a .exe. The zip made it through. I went to www.giveawayoftheday.com and got the BurnAware premium and this was the .zip and no problem. Then I went to SharewareOnSale.com and tried to get the IOBIT Driver Booster and once the run screen came up I got my bad message. I would attach both files but I don't know how!
I don't know much but it appears that the .zip doesn't check something when downloading.
Help?
Thanks Everyone!