The one concern when downloading a file is the file type. Files come in two formats - text and binary. Almost all other files are binary. This simply means that the computer sees the file as a bunch of binary numbers. This is because they contain a lot of Microsoft specific information and code.
All programs are also binary.
Before you download a file, you should specify which type the file is by using the three buttons at the bottom of the window. If you are unsure of the file type, choose the Automatic button. If you are sure of the format of the file, or if automatic is giving you problems, use the correct button for the file type. Most of the time, the automatic button will make the right choice for you. Some archives compress their files to save space.