"There is no application set to open the document"

I've been having problems downloading a few different types of files recently and keep getting the same message I mentioned above. I think the file types have been a .vst and .fnlf. I've tried setting the installer as the method to open them but even though I can find it, I can't select the installer to do this. Do I need to download an app for this as it suggests or should the installer be working?

Cheers for any advice!