What is the name of the file? DAZ changed their store and they may be providing zip files now, I don't know. You need to save the file to your computer. If you're talking 'run' from your browser, you probably need to Save it to a location where you can find it - the desktop is a convenient place. I'm assuming you're using Windows. If you have a Mac, a Mac user will have to chime in. If it's a file ending in exe then double clicking on it shouild run the installer with instructions. On Windows 7 and Vista, there are some potential problems depending on where you go from there. I use XP so again someone else will have better advice on that. If it's a file ending in zip, I'm not sure how they're packaging those. Double clicking should at least open it up so you can see the contents.

It sounds like you're trying to run something like a Poser file that you system doesn't know how to deal with. You may need a free program like Winzip to get those files to their proper location more easily. At any rate, someone will be along who can be of further help so just hang tight. If you haven't already, tell what system you have Windows or Mac and which version and if possible, where you have Poser installed. 

"Democracy is a pathetic belief in the collective wisdom of individual ignorance." - H. L. Mencken