This question has been asked several times.
For administrative reasons, it is inconvenient for Pelle to do this.
It is much easier for you, when you download it, to change the name from setup.exe to whatever you like.
I personally use
Pelle's C Version 4.00 setup.exe
and for the addins
Pelle's C Version 4.00 AddIns SDK setup.exe
Robert Wishlaw