Hi Zeianbast,
You're right - this is not a download error. It appears as though your computer is missing the MSCOMCTL.OCX file, which is a common Microsoft file that should be on your computer. (Neo's SafeKeys uses this to run...)
How to Correct or fix this dependency error:
1. Get MSCOMCTL.OCX and save a copy in C:\WINDOWS\system32.
It should already be on your computer - search here first. If it isn't on your computer, you could get from another Windows computer, or Google MSCOMCTL.OCX (there are many sites that host it for downloading).
This may be all that is required. Try running Neo's SafeKeys 2008.
...if Neo's SafeKeys 2008 DOESN'T run, then perform this additional step:
2. Click Start --> Run, then type REGSVR32 MSCOMCTL.OCX.
Let me know how you go.
Neo