To run programs that are 'not win32' you'll need to run them at a DOS command prompt.
Create a folder off of your 'C:' drive and put both the files there (or place in two seperate folders for less confusion later).
Then get to a DOS prompt, change to the folder where you put your file by typing CD followed by the name of the folder.
Then all being well you just type the name of the file to get it running (or extracting).
If nothing happens and you get an error message instead you may well have a corrupted download (try downloading again) or the files weren't meant for Windows or DOS anyway.
P.S. Anna correctly mentions a fault in windows that can bring up that message after some types of virus infection, if it were so it would error all .exe files you double click on. This would mean you need to fix a registry error.