The file you downloaded may be in zip format.
Support for zip files is built into Windows and Mac systems via the Windows Explorer and Finder respectively. You should just be able to double-click the file and it will open.
In iOS 11 Apple added zip file support to the Files app. Here are instructions on opening a zip file with the Files app: https://www.howtogeek.com/fyi/how-to-unzip-a-zip-file-with-your-iphone-or-ipads-files-app/.
For an Android device you'll need to download a free, third-party app. Try following the instructions here: https://www.wikihow.com/Open-Zip-Files-on-Android