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What kind of file have you downloaded.
Is it an achive file like ZIP, RAR, ARJ, LHA or whatsoever?
You might have to install a special program to open e.g. RAR files.
E.g.
If the file has the extension .RAR, and WinRAR or any other program that can handle RAR files is not installed, a window will pop up and asks on how to open it.

any program mostly exe I do not ever get it when I click on run or save it takes me to an open with window
I have tried the file extention fix on winhelp.com but the userchoice is not at the end of the reg link

Can you execute the files, when you saved them, by navigating to these files as you do when opening any other document?

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