Downloaded file usage

I downloaded a file (zip) and unzipped it to a clean folder. The resulting file (setup.exe) does nothing when selected. What am I doing wrong. I tried several different program files and same results. Thanks in advance

Do you have any idea of what's in the setup.exe file?
It could be a virus or anything.
Limewire users are very wary of downloading .zip files (with good reason!)
Many setup files you get off the internet without knowing whats in them are very bad for your computer.