For some reason some peoples computers change the file extention when they download it. All you have to do it change the extention of the file to .exe.
Ex/ LegendofTnsau.pft
Change the .pft to .exe
.pft is only an example and may not be what your extention is. In order to change extentions you must rename the file and add .exe to the end of it removing the existing .whatever. Then the file should be able to run on its own and all you have to do is double click on it.