Most downloads come as packed .torrent, .iso or .rar files.
So you have some kind of unpacking to do.

For .rar you need Winrar or 7-zip
For .iso you need Windows 8.1 of higher. If not you must download a free program to unpack the .iso
For .torrents you need a torrent-agent such as f.e. Utorrent or Bittorent

Further explanations can be found in the sub-menu’s of Utilities.