I think the file you downloaded should be a .zip file. If you saved it to your desktop, try right-clicking on the file (.zip) and see if you have an option to "extract" or "unzip" - on my win7 machine - I can extract, which gives me a folder called win32diskimager-RELEASE-0.10-r15-win32.
If I open that folder, I have a file called "win32DiskImager.exe"
what version of windows are you using? or is it mac?
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