Can someone tell me what's up with downloading "Real Player"?

I am having problems (still) with downloading Real Player (and also some other things.) Basically, I click “Download” and the box that appears says “Binary File-Do you want to Save?” (That’s it.) So, I press “Save”. Then I go into my Files to open and run it. When I click on the saved file…it comes up again as “Binary-File——Do you want to Save” with only “Save” as an option (not “Run”).

What am I missing here? Am I not clicking the correct links?

(Yeah, it’s probably simple…but I’m still stumped.)