what do you mean "downloaded"
legally?
software from microsoft which you purchase is typically an exe file so opens with a double click just fine. if you are having trouble send a mail to microsoft asking details.
edit: i forgot that microsoft sometimes lists iso files on their site as noidea said below. (this would end in .iso) you burn them to a disk an it installs from the disk. or as an alternative you can use a program like daemontools which creates a "virtual dvd driv" on your pc so you can open iso files directly.
if you got it from "the other side of the internet" then we cannot help you with illegal hacked pirated software.