I dowloaded the Sacred Gold and I got a file with the extension .gogdownload, how do I run that file...Or how do I install a file with that file name?

Change the extension to .exe and run the file. It'll do an integrity check to find out if it was downloaded correctly.

I changed the icon next to it to winzip and now it keeps trying to open it with winzip..How do I change it back?

Did you Right-Click and choose 'Open with ---Winzip"?
If you right-click the file and Rename as "WhateverTheFileNameIs.exe" it should be able to run.
Karl

Right click on it, click on rename and replace .gogdownload with .exe

I chanfged it to .exe and even downloaded it agin and it still has the winxip icon next to it and eventhough I change it to exe it still wants to open with win zip. I don't get it.

Here's a shot in the dark. In Windows Explorer open the "Tools" menu and select "Folder Options". Go to the "View" tab and look under the advanced settings for a checkbox labelled "Hide extensions for known file types". Try turning this off and trying again to rename the file.

Monkey:
thank you for you fix. It worked and now I am off playing the grand game of Sacred.

I still think that renaming is so stupid, and so belt and suspenders. GOG Downloader should either do it for me, or let me download it .exe. Not saying it's hard, just saying it could be better.

It looks to me, that problem is on your side, all games from GOG downloader are exe on my HDD.
//edit: or maybe there is problem with downloader and it sometimes "forget" to make exe from downloads.

That's most definitely what happened to me. I always have to do it myself, which is a big pain in the caboose. I'll send the log files next time I buy a game (which may be when I get my next paycheck, which may be never...jk).

Sorry to dig out such an old post again, but I've seen this issue a couple of times with other programs and the culprit was every single time either:
Windows Explorer: for some reason Explorer locks files while their being scanned for properties and quite often "forgets" to release them. Since all explorer windows share the same process, the problem will usually persist until you close ALL explorer windows (and in some rare cases you'll have to kill the actual explorer process, which also contains the start menu, although that's usually not necessary).
Antivirus software: Most scanners use "guards" which checks files while they're modified/written. Some of them are a bit overeager and actually lock files for scanning. Temporarily disable the guard functionality to get rid of this issue.