Usually this means that the file you are trying to open cannot find an appropriate application to open it. For example, if the file is a *.rar file, perhaps there is no application associated to that extension (the .rar part).
So, if you know what application needs to open the file, then you can download the file, open the application, then open the file in the application. In Windows, generally if you double click on a file that does not have an associated application, a window will appear that will ask you to select the program from a list. You can do it this way as well.
degrees of separation
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