You say "every file", but you mention only one.
Please tell the full filename including extension of the file (like .mov, .pdf, .jpg, .exe) you downloaded. If you don't know how to determine that, google it or ask here.
How do I solve this issue? I tried downloading Project Diva for PC (It's free) but when I download the file, It doesn't have the file icon. It has the empty paper icon with the windows media player logo over it. When I click it, instead of installing, it goes to Windows media player and tries playing a video but can't even do that.
I have Windows 7, if that information is needed to solve the problem.
Link to youtube removed by moderator.