2 more stupid questions

Brewers, KY(Zone 6b)

Stupid question #1
Run or save?

When I downloaded zonealam and avg it asked me if I wanted to run or save...I picked "run"..that was my final answer :0)..was that the right thing? What is the difference between the two?

Also, after downloaded AVG -for nearly 2 hours- a box came up and stated that AOL did not recognize a signature on the download, it stated that I should not run this program, it would be harmful to my computer because there is a chance the software is not legit. I made sure I was not at a bogus AVG website by comparing the web address from my old computer. http://www.grisoft.com/us/us_index.php

I picked not to run it for the meantime. Can someone help me?
Thanks to anyone who can help,
signed me,
The computer geek wanna be

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