Mg Tools

Hello, I am stuck again.
I was trying to download MG Tools, and my computer will not let me download it in the C drive. I tried to download it to the desk top. My antivirus does not stop it, but Windows does (I think). I have Windows 10. In trying to download it, a command prompt window popped up, and thus began an continuous cycle of the window popping up asking if I want to allow the app to change my device. I clicked Yes, Yes, Yes, Yes, Yes, until I tired of that, then clicked No, No, No, No, No, and tired of that. I hit Ctrl, Alt, Delete and had to end the task. It appears that some MG Tools something has downloaded onto my desk top, but if I try to open it, the cycle of continual "Do you want this to change your device?" pop ups begins again.
What did I do wrong? What do I need to do now?
Thanks.

 

Yes, I am using an Admin account.

 

Okay, thank you. I will try FRST. What do I do with MG Tools? I go to "Add or Remove", and this is not in the list so I can't remove it. There is an MG Tools icon on my desk top. I don't know what this program may have done during all of the craziness described above, and I did tell my computer to allow some of it.
Can I simply delete the icon from my desk top, or is there some strange partially downloaded thing from MG Tools somewhere on my computer?
Thanks again for all your help.