what's the extension on the file? if you can't see go to "tools -> folder options -> view" and click on the box that says something like "show extensions of known file types". if it's something wierd try changing it to .exe or .zip and see if it opens
The files are going to be compressed for sure. Probably either .ZIP or .EXE (which is going to be a self extracting compressed file) or it might be .ISO which would be a CD image. Will need to burn that to a CD.