When the install runs click on the 'Options' button and unselect 'Run This Program When Done'. That will cause the download to "save" instead of "run".

To locate the downloaded file, use 'Start/Run...' on XP or the typing box on your Start Menu in Vista, and run '%temp%'. That directory is very crowded, so you may want to select View/Arrange Icons By/Modified from the menu. Then look near the end of the list for a .exe file.

Norton AntiVirus starts with NAV, Norton Internet Security starts with NIS, Norton 360 starts with N360, SystemWorks starts with NSW, Norton Ghost starts with NortonGhost. It should be nearly the very last file in the list if you just finished downloading.

Move that file somewhere you can find it later. If you want, burn it to a CD in case your hard drive fails.