Just to be sure, you are saying that you cannot run the executable file? As far as I understand, and unfortunately I am only guessing here, sometimes, you must be in the correct directory to run an executable. Try right clicking on the file you downloaded, and then click properties. See if you can find the path that the file is downloaded in (example: C:\users\user name\downloads). When you find the path, type "cd C:\users\etc\etc\etc" in the prompt. (note: don't actually type etc.; I only typed that as an example. Also, you need not include the parentheses). When you are in the correct directory, try running the executable again.
If this doesn't work, you could try enclosing the name of the program that you are trying to run in parentheses, as cmd, in some cases, does not recognize spaces that are typed into commands, if they are not enclosed in parentheses.
As a last resort, you can type help into the command prompt, which will bring up a list of commands that you can use. If you type "help [name of command], where you type the name of the command that you want more information on directly after help, cmd will give you more information on the desired command.
I hope that this helps.