[X-Newbies] exe file won't exe

[Peter Saint James]

         I downloaded a supposedly self-executing, software update  
file (an .exe file) but it won't execute.  I get a box that says  
there is no app to open it with.  I did a "get info" on it and the  
info box claims it's a document rather than a program.  Does this  
mean it's a corrupted file and I have to download it again or is  
there some other trick I'm missing?

           TIA

                                                 Peter