That could be a either self-extracting zip file or a DAZ installer. The problem is that double clicking on either one should run it. Windows doesn't need anything else to run an exe file. It's possible that it could be have been corrupted in the download process. Try clicking once with the Right mouse button. You should get a menu that has 'Properties' as one of the choices - select that. You should see a window that among other things shows the file size. See if the size corresponds to what (hopefully) is listed on the product's description page. If the sizes differ, then the download is probably bad - especially if it is very small. It may even be a web page that got saved with the exe type. Also, note the File Type and Description in that dialog. It may be helpful.

The only thing that puzzles me is that Windows should try to run the file and if I recall correctly, tell you that it's a bad exe - rather than asking for what program to run. In theory, there could be something else tacked on after the .exe that you can't see depending on your settings, but in that case, you probably wouldn't see the .exe either.

 NOTE: Apparently, there are problems with some DAZ installers. There is supposed to be some information and I think a fix here: 

http://www.daz3d.com/forums/viewthread/865/ 

That may be your problem - don't know but definitely check it out and communicate with DAZ support. 

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