MGtools on desktop opppssss

I have a question... I accidently did... I downloaded into desktop and ran... I really was half sleeping.. lol... What should I do ?

MGtools - DO NOT DOWNLOAD THIS TO YOUR DESKTOP! It is critical that you save this file to the root folder of the drive where you have installed Windows (Typically this would be C:\ and thus you would have a C:\MGtools.exe file after downloading) If you use FireFox and still have it set to defaults, it will not let you choose where to download files to. To change FireFox, run FireFox and Click Tools, Options, and on the Main tab select Always ask me where to save files. If for some reason you still have a problem trying to save MGtools.exe properly. You can download it to your Desktop and move it after downloading, or if necessary (but we prefer not) run it from your Desktop.