You are confused and not giving enough information, so I will answer you without the specifics I could if you explained it more accurately and in greater detail.
First of all I'm going to guess that you are on a Windows operating system and that you have the file extensions hidden from you by windows.
You can change this by doing something like (since you didn't say what operating system you are on I can't be sure this will be the exact way to do it for you):
From Windows Explorer > Click View > Options > View and uncheck the box for "Hide file extensions for known file types".
Then just download it to your desktop and rename its extension there. The type of file you are trying to open is sometimes a .zip file, so if giving it a .exe extension doesn't work for you try giving it a .zip extension and opening it with a Zip compression utility.