the file your downloading is a .zip file. Compressed data to cut down on the download amount.
You need a program like winzip
www.winzip.com to uncompress the data
I would suggest downloading and installing winzip, then your file association with zipped files should be corrected.
Once installed, create a folder and move the zip file into it, then click on the zip, winzip should open and ask you where you want to extract the file to, make sure you extract to the folder you created. Once done, you should see a setup.exe in the unzipped documents. Try running that. If everything is alright, you can delete the new folder, zip, and uncompressed zip files.
Let us know what happens.
For some reason acrobat thinks .zip files are for it rather than unassociated.