I still don't understand how do you 'click open'. Do you have the program in your downloads folder on your computer? One left mouseclick should not open the file, it does nothing. A doubleclick should run it if it's an exe file and it's physically on your computer. Right click should bring up a menu where 'run' should be an option. A screencap is a picture taken of what is on your screen. Taken usually with either the PrintScreen button on your keyboard or using a program that came with your Windows such as 'Snipping Tool'.