I got bitten by that bug myself.
It seems that when you download the game from the site, you don't always get the same server. At least one of the servers has the correct file name and at least one other the wrong name.
The name of the file should be
RoonSehv_v2_FR-ENG-GER-ITA_setup.exe
not
RoonSehv_v2_FR-ENG-GER-ITA_setup
So, just rename the file to .exe and it will then execute when clicked upon.