How to download minecraft Forge and run it?

I know where to go for the website on downloading, and i know what to do to get it to download, but whenever i try to open the download it just gives me a file. It does ask me what to open it with, but i have no clue what to select, so far anything i select doesn t work… Do you know what program i need to run it on for Minecraft Forge to work?

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