(Wrath)Unsucessfully downloading my first Patch

Tried to download the latest patch for WOTLK last night.
This is the error code after attempting to download:
The file "C:\Users\Kayla\Downloads\Wrath of the Lich King 3.3.5a\WoW.exe" is read only and cannot be overwritten. Please try installing to a different location. (ConflictManager::DeleteFile)

I realize that it is trying to install the patch to the wow.exe folder and that seems silly, but I do not know how to reroute where the files are being installed. Any help would be greatly appreciated.

Thanks a bunch.