Some web browsers have trouble opening applets straight from a hard disk. I have noticed this happen with Internet Explorer 3 and Netscape 4. This is an applet, it is intended for use within web pages. You can't open it directly. If you try, it won't harm your computer, but neither will it show you the applet.
Class files are binary files, just like image files are.
You should transfer them in the same way that you transfer image files. This is a very common problem. Your transfer program has changed the name. This does happen. Other will change the case of the letters to either all uppercase or all lowercase.