Forge won't open when its finished downloading

hay, so i've tried to install forge because i want to play pixelmon and everytime i try to install it, i follow the steps and click on the file and the bottom when its ready, and it just comes up with saying "this file does not have an app associated with it for performing this action. please install an app or, if one is already installed, create an association in the default apps settings page.", what does this mean?? what should i do??