Trouble playing flash files

This may be a really stupid question, but here goes.

I'm trying to play a file that is flash animation. Here's the link from where I'm downloading the file. http://blog.slobstyle.com/files/billandted/

When I download one of the cartoons, the file appears on my desk. But when I open the file, the computer doesn't know which application to use. No application will work.

I've downloaded and installed the lastest Flash player. Shouldn't it play in a web browser? Am I doing something wrong?

Thanks in advance!