got a question. If its asking you what you want to open it with does it say something about File Type .exe? I know there are some sites that have malicous code that runes the registry data for running programs. This could be the case.
Do a search on restoring .exe there are fixes for it that are simple.
If this isn't the case I have no idea whats going on because it should run as a shortcut on your desktop.
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