Hi tinygirl
SH5 Application and .exe are the same.
When in doubt just go to properties and you will see what the file type is.
From my tutorials post
If you use 7 zip which is free you will not have any problems and is easy to use and is ideal for downloading mods etc.
Download Link to 7-Zip
http://www.7-zip.org/download.html
See my tutorial post #2 on how to install TDW's Generic File Patcher
Peter