First of all, make sure you have file extensions always visible in the Finder. Try turning off "automatically decode Binhex and MacBinary files" in Internet Explorer's preferences. BTW get 5.2 if you don't have it already! Also/or then try renaming the downloaded file with different file extensions like .bin if it isn't already.

Perhaps force quit (or force relaunch) the Finder by hitting Command+Option+Escape and select it from the list. The finder is sometimes slow in updating the icon of files and the file type. I've had it before where the Limewire installer app had a stuffit icon and when double clicked it would open in Stuffit and nothing would happen. I think I added a .app to the end and then it launched the Limewire installer app.

Let me know if this helps....