When you download the file, it should be called
It should open itself and not be asking what program to open it with. It sounds like the .exe on the end may have been cut off.
Try right-clicking the CognitionEpisode2Setup.exe file and choosing Properties. On the General tab near the top, it should say CognitionEpisode2Setup.exe
If it only says CognitionEpisode2Setup without the .exe on the end, change it so it says CognitionEpisode2Setup.exe
It will ask if you really want to change the name and give some warning about it not working, but go ahead and change the name. Then try running it.
I removed the download link from your email because that's your private link to the download and you aren't supposed to share it with people.