"You can't open the application because Microsoft Windows applications are not supported on OS X" what do I do?

Since you haven't specified what you downloaded or from where, the only thing for sure is that you apparently downloaded the version written for the Window operating system.

Without any details the only thing to suggest is that you try again making sure to select the version for Mac [OS X], if there is one.

can't open the application because Microsoft Windows applications are not supported on OS X" pops up when I try to click on the download. What am I supposed to do for it to be able to download?

Download a Mac version of Microsoft Office instead of the Windows version.

Download Office 2011

https://www2.downloadoffice2010.microsoft.com/macdl/registerkey.aspx?culture=en-us&ref=macdl

Download Office 2016

https://support.office.com/en-us/article/Update-history-for-Office-2016-for-Mac-700cab62-0d67-4f23-947b-3686cb1a8eb7

As Bob guessed you have, downloaded the windows version of Office.

Go back and download Office 2011 Home and Student.

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Disclaimer: The opinions & answers are solely mine and mine alone, and do not necessarily reflect upon my position as a Community Moderator.

I downloaded Office Home & Student 2013 to the latest MacBook Pro with retina. I downloaded from this site. Once it's in my downloads folder, when I click on it it gives me that message. I also went to Microsoft FixIt and downloaded the 015CTRRemove.diagcab to see if that would help but it when I click on it I get the message "There is no application set to open the document 015CTRRemove.diagcab".