For a large file like Photoshop CS3, it would be best to save the file then double-click it to start the installation.
However, "Run" and "Save" will work exactly the same. You can elect to "run" the download (which will still download the file to a temporary folder, then start the installation by itself) or "save" (in which case you double-click it to start the installation, like I said above.)
Hope that helps you.
Xyso
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