Googling the "This link needs to be opened with an application." mostly seems to occur in Firefox (although many times, like here, the browser used isn't mentioned at all).
So I would start trying another browser (Internet Explorer, Chrome). If that works, consider your problem solved.
If it doesn't work, it might give a more helpful error message.
And it really would help if you would tell what the link actually IS. We can't see what "this link" is. You can. In Firefox there should be a right click option "Copy link location". Then just paste that in your answer. Other browsers might have a comparable option.
I click on the link, and I get "This link needs to be opened with an application." I don't know what to do next. This happens for all my needed updates when I try.