It looks like you saved the installer without .exe extension. Are you able to reproduce this? Meaning, if you download the installer once again, using default link, does it save without extension (if my guess is right) again?

I resolved the problem. I had to use the "alternative download" link and everything worked fine.

I am trying to download and install WinSCP and it doesn't proceed to the language for installation as it says. It says "open with ____" and I am supposed to select a program to open it with. Is this normal? Which program should we use to open it with?