First thing's first. When you get to the Need for Speed demo page on download.com, use the Download Now link and not the Fast Download link which uses download.com's download manager. It's a really large file - over 200 mb! - so I would just leave it be on your computer while it downloads and don't do any processor intensive tasks so that it doesn't screw up or get corrupted.
The white box w/ the blue header indicates that the file isn't complete or of a known file type. For example, it may look like this if the file is only partially downloaded. Alternatively, since it is such a huge file, Windows will typically save it to a temporary location while downloading, and then once it finishes move it to where you selected for it to go. After the download finishes, the icon may look like this until the file has finished being "moved".
If you indeed downloaded the full thing it will eventually turn itself into a self-extracting .exe. That is, an .exe that decompresses itself. Clicking the .exe should give you a prompt as to where you want the files to be extracted to. Once it extracts, run the setup.exe file.
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