Holy smokes, that's not good. Since the link worked and your download completed, it wasn't the download operation per se that hosed you. Had to be what was downloaded and installed.
I can see two possibilities why this might've happened...
1. The downloaded file got corrupted, and installed a damaged .exe that failed to work upon boot. This is unlikely, because installers perform integrity checking and should stop the process if the file isn't 100%, but I've seen some weird things before that simply shouldn't happen. Worth a mention.
2. You may already be carrying some kind of malware infection, and it conflicted with the new protection you were installing. Could be an event triggered by the infection (some malware is "product aware" and targets specific software) or just the new .exe files being infected while they were booting up for the first time. System Restore would have replaced the damaged files with working, but possibly still infected versions.
Don't mean to alarm you, but it might be a good idea to do a deep scan of your system with the antiviral of your choice. Even if I'm completely wrong it wouldn't hurt and would give peace of mind. I just find it peculiar that an *anti-malware* package failed to install properly and in that fashion. That's quite a coincidence.