What is a .cgi extension and why can't I listen to my internet show? Also, what is happening to my downloads?

I have listened forever to an internet radio show that is pretty sophisticated (not a fly by night) and has all the bells and whistles. I’ve never had any problem listening to it…as it has both Windows Media and Real Audio as options to listen.

Today, I have attempted many times to open up the show…and it says, “this has an extension (.cgi) that does not match the file format.”

As I’ve said zillions of times, I’m not that familiar with tech-speak and don’t know where the problem lies or how to fix it. Can someone tell me what I need to do to listen to my shows again?

Now for the download problem (which may or may not be connected):

I attempted to download Windows Media Player (again to fix the above problem) and also Real Audio (because my computer crashed about two weeks ago and that was gone). What happens is that when I click “download” it only gives me the “Save Option” and so I click “Save.” Then I go into the files to open it to run it….and when I open the file it once again only says “Binary File——Save” as an option and no “Run”...no option to “Run”.....

What am I doing wrong here?

Hope someone can help.