This whole episode sounds familiar and very suspicious to me. I'd say there's a pretty good chance that this "free downloading tool" that you downloaded is in fact infected / a virus / malware. And I wouldn't be surprised if "Microsoft Security Essentials" doesn't detect it - I've never heard of that program as an effective Anti-Vir.
If you cannot install any Antivirus software, I would advise to check what background tasks are running via the task manager, and if there is any .exe that is unfamiliar to you and wasn't there before. Also, some viruses fail to block all the AntiViruses from installing. Try installing
http://www.malwarebytes.org/
and run a quick scan with it (in fact, I've never had a virus that required a full system scan to kill. The vast majority of them are hidden in / activated from the same places, like Windows/System32 folder, or Documents and Settings/Application data etc., which are always investigated during a quick scan).
Also download
http://free.antivirus.com/hijackthis/
and run a system scan with it. In addition, it has a very useful option under "Open Misc Tool Section", which then allows you to show all actively running programs, like the task manager does, BUT with showing you the full path to where this program originates from, so that you might be able to identify it more easily, or confirm suspicion.
The thing is, most viruses should be identified by the Anti-Vir programs automatically and you shouldn't delete any files unless you are 100% positive they are malicious, but I've had a few nasty ones at some point which blocked any Anti-Vir from running - and FAKED being a Windows Security tool themselves, popped up and advised me to download (even more viruses...) to "reestablish security" and get rid of the infection - so I had to manually identify and kill a part of its .exe structure to properly run an actual AntiVir.