Well... Another question, it won't download without it removing it. What do I do?
If you mean MSE deleting the file, then just turn it off until you install the game.
It's more likely than not just a false positive.
Some anti-viruses(looking towards McCaffe in particular) overreact to any new file it finds on your hard-drive, and send you a bunch of threats and warnings and stuff probably without even checking to see if the program is actually malicious.