Do a File > Get Info on the file. You can press [Apple]-, as well. Make sure that the file ends in the extension .app. For future reference, you should buy your commercial apps.
Ya, It's called your keyboard. Command (apple) + I to get to the get info screen. Under the name and extension drop down you will see the file name. just add .app to it.
I think you have to change the file privileges (?) to make the file executable. You can do this from the Terminal, but I think it can also be done by looking at the file info, though Im not so sure about that.