can't download .EXE's

I am not able to download any .EXE's from the internet.  I need to download .net framework 4 and it comes in an .EXE.  so I did the following (and I still can't download an .EXE)

1.  I created a new OU in AD

2.  I added both my user account and machine account to this new OU

3.  I blocked all inheritance on this new OU

4.  I created a new GP Object and Disabled all the settings under Restrict File Download for both User and Computer

5.  I linked this new GPO to my OU

6.  I did a gpupdate /force

7.  I did a gpresult /z to confirm the new policy is being allpied

I still can't download any .EXE's from the internet.   What else do I need to do?