Download works only on some sites?

When i try to download a file, such as a game file,*MMORPGs*

The *Download* icon popped up and everything, *Click* *Save* yeah and all that..................When i download the file Its an *A document* like, umm maybe this makes more sense, let me try to describe, When i try to download the game*I'm not really downloading the game..it looks like a write on paper with a BIG red A on it* i can't download any games, are files for that matter

really annoying..I know its gonna be hard to help me i didn't explain right, but if you can help thank you

Download works only on some sites?div myspace

Ok, right click on the icon for the download and click "properties"

If the file type is .rar, google Winrar

If the file type is .exe, double click the icon.