I would do the following:
1) Download the file again, making sure you have the windows version.
2) After you burn in to cd, just take it to your pc like you did. I use the same method as you because my game pc is not on the internet.
3) If it still won't work, copy the file from the cd and paste it to a temp folder on your c drive. Then try again. I've had to do that with other files before.
More than likely you just got a corrupted file in the download. It happens. Oh, it is NOT a DOS game, so don't worry about that end.