Can you please help me?

I click it like I would the Windows installer, and it sends me to the files instead of sending me to the setup where it puts it in my minecraft launcher.

Today, I went to download 1.16.4 forge, and it will not let me install any type of forge!!! I went back to some earlier versions and the only thing that worked was the Windows installer that has stopped being made. Am I doing something wrong? The only thing that I can think of is that I have another program that runs my .jar files.