I always chose save, as I can then scan the download for any nasties before I install it. If you chose run, it will automatically start installing the program once it has downloaded enough information.
If you choose run, it will save the file to a temporary location and run it as soon as it's finished downloading. This can be handy if the file is only needed as a one off, however, if something goes wrong (eg. the installation fails for whatever reason), it could mean you will have to download the entire file again.
If you save it, it saves the file to a location of your choice therefore allowing you to use it over and over. Waste of space if you are only going to use the file once (eg. to install a program), but then at least it's still there if something goes wrong.
Personally, I almost always choose save, and then manually delete the file once I'm finished with it.
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