for the scr file to show in the display properties dialog it needs to be in 'c:\windows' or 'c:\windows/system32' folders.
They are the 'defaults' that the OS looks for...
If it's an installer screenie [exe file] it looks like it's not setting the reg correctly.
Just copy/paste the scr from your 'downloads' to the 'system32' one....
When you re-open display properties it'll show up.
Running the scr from 'downloads' [double click] will only set it going [you see it]....it won't install it...