You sure you downloaded the correct file, not the webpage ? (I'm thinking you right-clicked and choose "save as" on a button called download, but that button is actually a redirect to a SQL query that's loaded into a webpage.)
As for the renaming part, Windows can be set not to show the extension of (known) files. When you rename files you can't rename the .exe or .jpg part. Maybe the file is called downloaded.php.htm or something like that. Still guessing here tho on both parts.
