do you have multiple versions of Dreamweaver installed? it could be that the DW CS3 extension manager is the default application to open for MXP files.
try starting the install manually rather than double clicking the mxp file.
In Dreamweaver CS5, go to Commands -> Manage Extensions to open the CS 5 extension manager.
In the extension manager click the install icon and browse to the security assist mxp file you downloaded to start the installation.