In answer to Valient, and in case this information helps anyone trying to fix the installer:
Two experiments: 1) renamed it with the  as Valiant suggested. 2) Renamed it to "entlib41.msi"
In either case I got the exact same error message with the original MSI name + 
Also tried running from command line 'as administrator.' No difference.
Tried different settings of User Account Control. No luck.
Thanks Valiant, for your help. As it turns out selecting 'Run' instead of 'Save' from the download did the trick.