If your still having problems try this (if using windows xp):

Goto My Computer.

Select your C: drive (1 click so its highlighted)

Then right click, select Properties.

Then select "Disk Cleanup"
New window open (with a progress bar), it will go in a few seconds and be replaced with a new window.

Tick everything in the list except "Compress old files" and "Catalog files for Content Indexer"

Click "ok" and then "Yes"

This may take a few minutes.

Once finished restart your machine.

Then download the file again, hopefully it should now open.

Windows media player is the best option to play the tutorials with, Nero is well know for its odd file handling.