Files not found

Whenever I’m trying to download somthing it asks me if I want to save the file or if it should try to find it. I tried saving it, but it tells me

Windows cannot open this file:

To open this file windows needs to know what program you want to use to open it. Windows can go online and look for it automatically, or you can manually select a list of programs that installed on your computer.

Can anyone tell me what the problem is and what I can do to fix it?

Torrent, maybe?