I don't recognise the file extension but what did you think you were downloading ?
All files have an extension dependant on what kind of information they are carrying, for example an executable file (one you can run) has an. exe extension, a word processing file might have a .DOC extension and a picture could have a .JPG
When you double click or try to open a file your computer has to make a decision what to do with it based on the 'Association' it has for that extension, an example would be your .DOC file, when you open it the computer recognises that it belongs to Word for Windows and starts that programme and passes the file to it for action, a .JPG could be passed to PhotoShop or a similar graphics programme. If it doesn't recognise the extension or have an Association for it then it will ask you for help to decide which programme to use, hence the dialog you described.
So we come back to my first question, what did you think you were downloading and do you have the parent software installed to allow you to use it ?
Hope this is of some use
Ian