How does it “not work”?

Normally files downloaded from the internet, are tagged as unsecure in Windows. That’s by design. You can change the property on the downloaded file, in the file properties, if what described above is the case.

You can always read the code of how umbraco handles file-uploads.

This sounds like you're missing an appropriate mime type configurations for .exe files. The web server doesn't know that to do with the file, so the download get corrupted.

You should add something like this to web.config:

<system.webServer>
[..]
    <staticContent>
    [..]
    <remove fileExtension=".exe" />
    <mimeMap fileExtension=".exe" mimeType="application/octet-stream" />
    </staticContent>
    [...]
</system.webServer>

is working on a reply...