NEED HELP!!!

I recently downloaded photoshop but I can't seem to open it. Every time I try to open it, an error appears on the screen saying "Windows can't open this file, To open this file windows needs to know what program you want to use to open it. windows can go online to look it up automatically, or you can manually select from a listahan of programs that are installed in your computer" there are two options -

1) Use the web to find the correct program
2) Select a program from a listahan of programs

I chose option 1 but didn't know what to click on once it opened, they were many options. Plz help..... :(