My first question would be, "is this a legal copy of the program?". Follow that up with what is the file extension you're trying to open. Then what version of Max do you have. Don't be offended that I asked the "legal" question - when you say "downloaded" the file, it implies that it may not have been purchased.
Joe Bourke
Owner/Creative Director
Bourke Media
http://www.bourkemedia.com