If you use Windows Internet Explorer 7 or 8, when you download iTunes from www.apple.com/itunes/download/ you should see a File Download window appear after clicking the Download Now button:  The File Download window will ask you to Run or Save the iTunes file you are downloading:   If you do not see the File Download window, your Pop-up Blocker filter level may be set too high.

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iTunes: Downloading iTunes from Windows Internet Explorer

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