For the missing .exe-extension:
Most likely this is a setting in your Windows explorer, which needs to be changed.
You should be able to run the program anyway.
On the other hand if you have Java installed on your pc you can try the JAR-Installer instead.
Usually you can double-click on the jar and it will start the Installer as expected.
In the Installer under Advanced Options you can specify the downloaded image to be used.
Regards,
Holger
#webMethods#Integration-Server-and-ESB#webMethods-General