|We need a bit more info.|
Go to Control Panel > Folder Options > View
Make sure the blob is in "Show hidden files and folders". It's best to work that way anyhow.
Now try to download one of the problem files but rather than Opening it, save it somewhere. Keep an eye on where it says it is putting it - mostly they go into "My Documents". Now go to the saved file and let us know it's exact name. What I'm really after is the "file extension" after the name (such as .doc or .zip). That tells us what file type is compaining and maybe we can then create an appropriate association.
You can, of-course, open it from the saved file but most likely you will get the same result - could be worth a try though.
We all live on the same ball.