My browser (IE4) will not open or download certain sites. I get the error message "cannot find file: Program.exe"
What is this file and where can I get it?

Program.exe is a phantom. It doesn't exist.

You are going to a site with content that require a plug in that you don't have - for whatever reason, IE isn't telling you the name of the plug-in, which makes things fun... You can try getting some and see how it goes...

Do the sites give you any other information about what the content type might be? Like VIVO or RM or anything?

First, check your file associations.

Go to the Control Panel|VIEW|Options.
Under the PROGRAMS tab in the dialog which appears, choose the FILE TYPE button.
Scroll through the list of File Types to the APPLICATIONS entry in order to find
the way that the browser deals with *.EXE files. The setting should show the
following:

CONTENT TYPE: "application/x-msdownload"
OPENS WITH: (executable).

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If the association is correct, then check the following Regisrty entry and see if it's set as follow:

HKEY_CLASSES_ROOT/.exe/
Default "exefile"
Content Type "application/x-msdownload"

If it contains the following entry..
"EditFlags" .. Remove the "EditFlags" entry from the" .exe" section to correct that.