We often recommend that when you download files you should scan for viruses. The same is true for attachments sent via email (although, if you have decent antivirus software this should be taken care of).

But do you need to scan your whole computer? No, you can scan just one file with most AV software (Norton, McAfee, AVG).

Just right click the setup file and you should see "Scan with whatever AntiVirus" or just "Scan for Viruses".

Your AV software will come up, scan the file, and let you know of any infections.

Some newer AV also lets you scan zipped folders before unzipping.

Knowing that it's safe, you can then proceed with installation of the program or opening the file.