Ok I just did again and when I try to open it I get a window that says windows needs to need what program is needed to open this file?
Don't try to open it, it's not an app that Windows can open. Just either save it onto your desktop or your downloads folder, then copy it from there onto your camera's CF card. Be sure to follow the insructions in the other file, like put your camera in "P" mode to do this.


