I had the same, problem... drove me crazy... clicking wouldn't open the files. Some downloaded as .sit, .sea, .hqx in the file names but didn't show up with the Stuffit Exander icon.
I have Stuffit Deluxe 5.5 and it recognized and opened them all from within the program. Stuffit Expander didn't seem to work as well.

Willy
DynaMixTech@Mad.Scientist.Com