Just open them "manually". Go to your Home directory in the Finder (the one that was initially named after you, you know, the one with the little house icon...) and enter the realm of the Shared folder *haunting music*. That is where all finished dlds go. The one that is real close to it, named Incomplete is for the ones that are, well, incomplete. It also contains the downloads.dat and downloads.bak files (which may appear as if open-able by a variety of applications, from quicktime and iTunes, to Stuffit and other crazy $hit) as well as the Preview files. Aside from the later, none can be opened.
Returning to the "problem" at hand, go to the Shared folder and try opening files from there.
Actually, always open them from there.

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iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps

"Raise your can of Beer on high
And seal your fate forever
Our best years have passed us by
The Golden Age Of Leather"
-Blue Öyster Cult-