It sounds like a torrent file. You would download the torrent file (.tor) file. Then open that with LW which would attempt to download the actual torrent file content.

I'm not sure why they linked you to LW 5.3.6, that is an older version. LW 5.5.10 is the most recent version. And I certainly hope you did not pay for this!!! If you did, you were most likely scammed.

As for why you cannot download the .tor file, chances are it's your security software not allowing you to. You would need to allow .torrent files (.tor) to be downloaded via your browser settings & your security settings.