The first step is to find out what type of file it is. If you can figure out what the name of the file is (try right clicking on the link), look at it's ending (for example, .pps or .jpg or .api). The ending clues you into what type of program is going to be needed to run the file.
Many of these needed programs come installed in Windows but some do not.
The easiest fix to this is to find a program that will run that file and to install it (if it is already installed on your computer, try reinstalling it). Installing it should create an association that will run the file.