It sounds to me as if you are trying to associate the crashing with the failed download. They are likely totally separate things and we need to tackle one at a time.
As to the download. when you get to the 3 choices - Open, Save or Cancel. Pick save. If at some point in the past, you have selected a 'do this with all files like this from now on' It may not wait for you to tell it where to save. Then you have to figure out where Windows put your file. You can use 7zip (or some other compatible unzipping program to unzip it from there. Always unzip into the /Oblivion/data folder.
As to the crashing, the author of that mod specifies that it needs some other stuff to work .
This is a quote from from his explanation:
This Mod REQUIRES my Custom Creature's Modder's Resource
http://planetelderscrolls.gamespy.com/View...ail&id=2666http://tessource.net/files/file.php?id=10338Unpack that resource into your oblivion folder everything should get put where it belongs,
then take the skeletonmount.nif from this release and add it to the
--> oblivion\data\meshes\saidenstorm\creatures\akatosh folder
Add the Akatosh By Saiden Storm.esp into
--> oblivion\data
Open Oblivion launcher click data files "X" that esp and play

You should have picked an easier mod to try first. I recommend my help files on how to get started with mods here:
http://s1.zetaboards.com/TheStormRavenLibrary/forum/256092/There is a sample mod to practice on and easy to follow instructions on how to get it into your game.