Hi
Did you do a right click on properties? That will usually tell you what type of file it is. (won't work if it's a folder with lots of files though as then the properties will only show that it's a folder.)
If it is something like a WinRar file, you need specific software to open it.
When you try to open it (by right clicking on the file), you should get an option to 'open with' and then there is an option to search for the appropriate program on the internet, as far as I remember.
If this doesn't work, would you save it onto disc as suggested?
Have you also run your anti-virus and antispyware programs on the file first (just to make sure there is nothing nasty contained within?)
Nicola