This can be any executable program that will run on your system. It can be a commercial application like Word, Wordperfect, Excel, or Lotus. It can be a freely distributed program like Quicktime. The web page you are viewing at should tell you what application you need and provide links to download the appropriate program. The file extension provides additional clues about the type of file.
Many applications are freely available on the Web.
Just download the program and install it on your computer. After you have downloaded and installed the helper application, your browser must be configured to handle the file type. For example, if you want to view a Quicktime movie, you must tell Netscape what to do with this file. Since Netscape does not know how to play Quicktime videos it needs to know what to do. After you have selected the program, Netscape will start the program and open the file.