Sounds to me like you've downloaded a PC program.
PC installers are usually called something like setup.exe, Mac installers either don't exist (just drag and drop the software wherever you want on you disk) or they're called something human like 'install'.
Make sure you download Mac versions of youe software, these are often dmg files (Disk Images) or sit files (compressed Stuffit files).
And please don't shout
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