I think it is just some kind of anti virus program that is blocking it but I am unsure how to allow the download.

I get the error message "The signature of marvelheroesinstaller.exe is corrupt or invalid."

Can anyone help me fix this?

Disable temporarily your anti virus, you're done.
Also if you're using win 7 or 8 the confirmation box, might no pop up as intended.
Check your action bar for see a blinking icon or so.