A quick perusal of your Downloads folder may reveal a lot of executable and/or Zip files your just plain don't recognize. For example, I have one called pwhe42, another called 385-INST-WIN7-A, and three with oh-so-helpful name of Setup. (Developers should be shot for that one.) How are you supposed to know what these files are for--especially if they've been there awhile?
If you're a Windows Vista or 7 user, try mousing over the the filename. You should see a little pop-up information window, in some cases containing a more complete description of the file. (This may work in XP as well, but I no longer run that OS, so you'll have to tell me.)
However, I think there's a better option: After you download a file, just rename it. Just because the developer calls it Setup doesn't mean you have to.
That executable or Zip file doesn't care what its filename is. So, for example, let's say you downloaded a program called Duplicate File Finder, but the executable is called DFsetup.exe. Lots of luck remembering what it is a month from now!
My advice: after the download is done, rename the file (by right-clicking it and choosing Rename). Call it something like, oh, I don't know, DuplicateFileFinderSetup. Then you'll have no trouble figuring out its purpose.