Download and choose "save" instead of Open/Run. I usually save onto the desktop, for convenience, but anywhere will do. Now copy to disk (or Flash drive) exactly as you would anything else you want to copy to disk. If your system is XP it's as easy to copy/burn to CD as it is to copy to a floppy.
Then give your friend the disk and he simply copies from the disk to his desktop and then opens the program.