Open With dialog for files

I tried to download a MIDI Wave driver from an internet site. The first time it downloaded there was just the file that has the Windows flag and when I tried to open it I received the OPEN WITH window. I figured it was a bad download so I downloadedit again and it showed a zip format but WinZip says it is not a valid Zip file. Now everytime I download a file like that it shows up as a zip file, although it is not. I viewed your entire q/a data bank and did not see anything similar. Maybe it isso simple that only a dummy like me does not know the solution. Nevertheless, since I do not could you please help me?