The file want's to open in the windows media player and adobe programs.
It sounds like you downloaded a movie file instead of an installer.
Or maybe your Windows just uses WMP or Adobe as a default when there is no file extension.
What is the file extension on the file you unzipped?
Or is there one?
Some people have reported that they had to add the .exe extension to setup files of certain games after downloading them because for some reason the file extension had been removed. If your installation file has no extension, try renaming it to add .exe on the end. Then see if it will run. Right-click the installation file and choose Rename to rename it.