What's the file type? You can't launch program files within LW. If you want to launch, you'll have to do it from your saved folder. In LW's library, click on Saved files then click Explore...your saved folder will open.

Be very careful with .zip, .rar & .exe files...they're often infected (I'd say stay right away from them). Make sure you scan any downloaded files with your AV before opening them.
WARNING: Viruses on the network you should be aware of