Can I just check if you're running Windows? Unfortunately Bridge Command currently only runs on a windows computer.
The file should be an executable (program file) - if you double click on it on a windows computer, it should run and start the installation.
Can you double check the extension? It should be .exe, and if it is, windows should recognise it as a program and run it.
Let me know if you're still having problems. I'm away without regular internet access at the moment, so apologies for any delays.