If your firewall application asks you to allow the install application to run, you must allow it to run.
Then Java will display a "Do you want to run this application?" dialog. Verify that the publisher is IBM and the location shown is an IBM URL, then select "Run" to allow the installer to continue.
After a few seconds, you should see a message indicating that IBM Download Director was installed successfully.
You can then close the installer and continue with your download.