Downloaded File (exe) Has Link Extension

I just downloaded an .exe file fromt the internet and saved it to my harddrive. But I must've done something wrong in the process because when I check the location I saved it to, it shows a shortcut (.lnk) that won't do a thing if I double click on it. Is there a way to change the extension back to .exe so I can run it (it's an install program)? I've already scouted the forums and noticed you can do something with your regs, but I'm afraid that will affect other files on my computer and I'm only having problems with this particular file.