Your file is corrupted. Setup files are available on Internet in .exe form. Windows recognize this file and start the setup usually. If windows is giving you error, then download the game file from another website. There is no way windows xp knows unless you open the file with "open with" option. If you have download a flash created game, then you need to have flash player to run the game. Download flash player first, then windows will automatically open it with flash player if the file was created in flash.
What is the file extension?
Sometimes windows install files are .msi and require the Windows installer to process. Sometimes they are .zip, .rar etc. .zip & .rar and a few others are compressed files. Windows usually knows how to process .zip files but some other compressed files require another program to extract the content.
Windows knows how to process files by the Association table (vista) or Registered File Types (xp) and, I do not remember, but probably something else in other versions (95, 98, me…).
When you use the "Open With" option if you check "Always use the selected program to open this type of file" Windows should add an entry to the table automatically.
Sometimes windows install files are .msi and require the Windows installer to process. Sometimes they are .zip, .rar etc. .zip & .rar and a few others are compressed files. Windows usually knows how to process .zip files but some other compressed files require another program to extract the content.
Windows knows how to process files by the Association table (vista) or Registered File Types (xp) and, I do not remember, but probably something else in other versions (95, 98, me…).
When you use the "Open With" option if you check "Always use the selected program to open this type of file" Windows should add an entry to the table automatically.