Very confusing post.
First, what you are installing (not downloading - that's already happened) is Adobe Flash - not Windows. If you want to stop the install, just click the "quit" button in the Flash install dialog.
Second, if it keeps asking for your password, then either it or your user name is incorrect.
Lastly, I'm not sure what you mean by "can't download files either". If you close the window asking for your password, you are still in the Flash installer app, not Safari. Just click on any Safari window to switch back to the Safari app.