I had this same problem/question. I created new folder and downloaded to it. What was deposited there was a shortcut to HJT. When I doubleclicked it, I got the "What Program to Open" dialogue.
I have tried moving the program from the desktop to the folder I created, but Explorer won't allow it.
Can't figger this out……..
Navigate to My Documents>Chose My Downloads or My Received Files folder once inside that folder click "Save".
Now go to the folder you saved HijackThis_sfx.exe in.
Double click HijackThis_sfx.exe and select Unzip. When done click "OK".
Close the WinZip self Extractor window.
Navigate to C:\Program Files\HijackThis and double click HijackThis.exe, and hit "Scan".
Navigate to C:\Program Files\HijackThis and double click HijackThis.exe. Hit "Do a system scan and save a logfile"
Click that, save the log, Ctrl-A to Select All, and paste Ctrl-V its contents in a [New Topic] in the 'HijackThis Logs and Problems (Open) Forum' if you need help with your log.
Most of what it lists will be harmless or even essential, don't fix anything yet.