What if your downloaded file is a *.zip or *.hqx / *.sit?
Many Windows or Dos files are downloaded as *.zip compressed archives; many Mac files are downloaded as *.hqx or *.sit compressed archives. This means that the program, plug-in, sound, video, etc. is "zipped" up to make it compact and easy to move around.
To use the file(s) within the archive, it must be "unzipped" (uncompressed, unpacked, etc.).
Whatever sort of compressed archive file you have, there are lots of unzipping utilities out there, such as PKZIP and WinZip.