That's because all of the files have been compressed into an archive. You have to extract it, so you get the file you want, in .nds, .gba, .iso, .bin etc. Go see the Winrar tutorial in the Tutorials section on this Forum.
most of the ninendo ds games are RAR. files as almost all the others (gba, retro, n64) are 7z(ip) both can be extracted with WinRAR which can be downloaded for free. Search it on google