Microsoft Self-Extractor Error 40
Just beat my head against the wall on this, and then I cracked it! Instead of double-clicking on the downloaded hotfix zip file, right-click and choose Run As Administrator! It will unzip correctly. You then need to go to the unzip directory and double-click on the extracted file (no Run As Administrator needed or possible).
Nowhere in the download instruction email does Microsoft mention this, and Error 40 isn't covered in any of their knowledge base articles. Grrr!