try this...
right click the setup.exe and SAVE it to your computer in a directory
like for example c
graal
then run it, it will ask you to pick a directory to install graal
choose the same folder, in this example you would use c
graal again
it will download all the setup files into folders inside of the graal folder, like c
graal\setup or whatever folders it creates
it should be fine from there on