I tried doing exactly the same, but It just said it couldn't find it. And I have it unzipped on my desktop.
And if this is any help, the reason all my files seem to come up as 'Open with' was because I accidentally set one of my programs to open with a selected program, the program would open no matter what other shortcut I used, so I deleted the file. Now it just comes up as 'Open with'.
I am so worried too, because now my anti-virus isn't working. I don't know whan on earth I should do.