LW won't launch program files. You need to open the file outside of LW. Go to the library page in LW, click the file you want and click the explore button. The folder with that file in it will open, and you can launch it from there.
Remember programs can carry viruses, so be sure to scan them before opening. Check the file size, small files (less than 1-2MB) are most likely viruses. You d/load them at your own risk.
More info here:
WARNING: Viruses on network you should be aware of!