Absolutely not. In fact, the only infection may be the program prodding you to do the download.
NEVER DOWNLOAD ANYTHING THAT SUGGESTS YOU SHOULD.
There are few guarantees in malware fighting (the above rule is one), but here's my best shot at a generic removal procedure:
First, boot into Safe Mode With Networking. (See below for details.) That sometimes keeps malware from protecting itself. Then, if you have an anti-virus, make sure it has the latest virus definitions and run a full scan with it. If you don’t have one, many people here swear by Malwarebytes (it’s free).
I suggest you also download Ad-Aware Free and Spybot S&D (they’re free), install them, update them and run full scans with them in Safe Mode With Networking.
Also, turn off System Restore to evict any copies of bad stuff that might be lurking there.
To get into Safe Mode with Networking:
1. Log out and reboot your machine.
2. When the machine starts the reboot sequence, press the F8 key repeatedly.
3. Select Safe Mode with Networking from the resulting menu.
4. Login. If the malware has changed your password, try logging in as Administrator. By default, Administrator has no password.
5. The machine will continue booting, but the Windows desktop will look different.
6. When you're finished doing what you need to do, log out and reboot back into normal mode.
Another trick that may enable anti-malware and/or its installer program to sneak past the malware is to change the name of the anti-malware program itself. The names of the files and their locations differ between anti-malware programs, but the procedure is always the same:
1. In Windows Explorer, find the folder with the anti-malware.
2. Change the name of the program (it always ends with a .exe) to virtually anything else, but keep the “.exe” part.
3. Run that.
Note that even if the anti-malware programs get rid of the malware, they may not be able to reverse the effects. Search the Web for possible fixes.
Update and run full scans regularly, not just when you think you already have malware.
Good luck.
Note: There ARE free versions of these reputable programs on the websites listed. They just may not be obvious.
Ad-Aware Free (free): http://www.lavasoftusa.com/
Spybot S & D (free): http://www.spybot.com/
MalwareBytes (free) http://www.malwarebytes.org/ (If the program doesn’t run, changing its filename from mbam.exe to something else ending in .exe has sometimes proven effective.)
AVG anti-virus (free): http://free.grisoft.com/doc/2/lng/us/tpl/v5/
Avast! (free): http://www.avast.com/
Kaspersky (free trial) (Seems to dislike installing on any machine with just about any other decent anti-malware, including some firewalls.): http://usa.kaspersky.com/downloads/