cokobdder,
First thought: Try downloading the file again. If it's a white icon or one that means it has nothing associated with it, it's possible that there was an error in the download process. Sometimes when this occurs, the file name and extension will be correct, but it'll be missing some bits of data somewhere, and give you the white icon.
Then...
If it's an executable file, then double-clicking on it (from Dell) usually does this:
1. Runs its own mini unzip/decompression tool to extract the setup file(s) to a folder on your system.
2. Automatically opens the extracted setup.exe file or similar.
3. When installation is finished, you often have to reboot, though sometimes you don't have to.
There are some occasions when it doesn't automatically open the installation file. Just in case, this is your situation, you can run the downloaded file, and then copy the destination shown in the window where you choose where to extract the files to. Then open Windows Explorer, and paste that location into the address bar (if you dont' see the address bar, make sure it's enabled under View->Toolbars->Address Bar). Or you can paste the same link into Internet Explorer, and it'll open Windows Explorer to the correct file location for you.
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"If to err is human, then I must be some kind of human!" -Me