sometimes, for whatever reason, browsers will try and load the downloaded file as if it were a page, displaying it as text. If you right/control click on the link and choose "save target as" or save linked file or whatever, it should prompt for a save location and download it.
Stuffit still wont let you run Windows apps ( .exe files) on a mac tho, it's just an unzip/decompression app for files compressed/zipped with Stuffit (that end in .sit).
If you want apps to run on a Mac, you need to download Mac (OS X) versions of them (not available for some Windows apps)