Sometimes the download instructions will tell you what to do. Sometimes it will tell you that you have to rename the file from xyx.ps to xyz.mp3, because the file is actually an mp3 file, but to prevent things starting when you click on it to download, the file is named as something that will prevent things like your mp3 player starting up. If you know what the file should of been i.e. .exe, .bat, .zip then try renaming it and then double click it.