My system is Windows 7 professional .
Downloaded and ran setup_wing_commander12_2.0.0.18.exe
and it produced an error message that reads
"Unable to execute file in the temporary directory. Setup aborted.
Error 5: Access is denied."

What should I do??

Try running the installer with admin rights. Right-click the setup file and select "Run as administrator".

You may also want to try installing it somewhere other than in the default Programs directory, i.e. C:\Games\GOG\.