No, not really.

You can just write a message telling people to right click it and save it to their desktop.

You could disable left click on the mouse, using javascript.

Oh yeah, that's a good idea.

You can use "winrar" (from download.com) to create a self extracting zip/rar file that unzips itself into the temporary folder and then runs the file automatically (all in the background).

Perhaps that would be useful for people without winzip/winrar/whatever.