Binos,
Sorry to hear you're having trouble. The finder is asking you to choose an application to open your .exe file because it can't open it. This is because it's a Windows file. One of the major joys of the Mac operating system is that it isn't Windows, ergo it can't open .exe files.
The kosher version of Microsoft Office is very simple to install, and doesn't contain any .sit files.
A locked destination is usually referring to a disk to which you cannot write, eg. a finalized CD-ROM.
Apple provide help and support on moving your stuff to the Mac:
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You might find your Canon printer driver in the Documents folder (depending on how you've set-up Safari). You can also search for it using the swift "Spotlight" technology, accessed using the Blue magnifying glass in the top right hand of your screen, or by pressing Apple-Spacebar.
AppleMacster