I have the same problem. Here is the file name. Lightroom_4_LS11_win_4_3.exe
I use Vista 64 bit. When I double click on the file, the little "in progress" circle pops up, but the "exe' file never opens.
EDIT: I just found the problem. When I checked the properties of the file, I noticed a message at the bottom that said the the file came from another compute and might be blocked. I clicked to unblock it. Now the file opens and is in the process of updating LR.