It's most likely the site that you downloaded it from rather than thesite you downloadede it from... Erm, wait... what?
I mean it's most likely just gonna show the site where you initiated the download rather than the server it's hosted on. It's better in respect of you know what site you got the download from, but not so good in terms of security if you don't bother to check the location of the download in the status bar as you could linked to www.naughty.com/setup.exe while the download manager still says Google
/ 
