What to do when windows XP can not easily load a setup

Hello, i want to install an application on my system, but the setup does not come in a good setup format. That is, when i click the file it normally ask me to select what i want to use to open the file, which is wrong for a setup. Please help me on what to do to my operating system
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  1. And just how is it wrong? You don't open/launch an exe file with anything, it, itself, is executable. Just double-click it and it runs.
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