Why doesn’t this gadget show up on the list of gadgets in windows sidebar?

I have Windows Sidbar for Vista..and I’m trying to install a new gadget from the website that you get when you click on “get more gadgets online” and I found one that i want…i click download and it tells me something about that it’s a third-party download and that only install if you trust it…i click install and then i save the file to the downloads folder..then i go to the downloads folder and the file is there, i click on it and something pops up that says “run or cancel” i click run…then windows sidebar pops up on the side and i check all the gadgets that i have and it’s not there…i’ve tried it so many times..it never works…PLEASE HELP!

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