Game File Extension?

[grumpy_dinosaur]

Ok. I'm grumpy_dinosaur using KaZaa lite for the first time. Nothing fancy downloaded Caesar3 WINACE self extractor. In my shared folder it sits completed 71503kb.
When I try to open it (it reads caesar3.vxd) it wants to know "open with"???
Now what - in responding - remember I am a dinosaur that is NOT too savvy...
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(how to I get back here to read all your helpful suggestions?)

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open with winzip

and wrong part of the forum mate