It might help if we knew more details.
1] This Nook Color eBook reader is running Windows 7, Yes or No.
2] Download from where?
3] What application are you using to download this file, eg a web browser, or some specific eBook app?
4] What is the exact wording of the error message?
5] It is strange that something is blocking a download. On a computer we can download anything, with any file extension, and it is only when we try to run the file, or otherwise use it, that some error or other might cause problems if the file extension is not recognised.