Could be. What is the file called? When you download select save rather than download and open option. If it is abcd.zip then it is a zip file - download winzip from www.winzip.com. It could be abcd.scr which is the standard windows screensaver file. In this case just right click on the file and you will get a test/configure/install menu.
One word of warning, don't download and open any file from a source you're not confident of. Scan with a antivirus before opening. scr files are a common way to infect peoples computers.