I downloaded Minecraft.Server.exe, and it won't run. It only has the option to open.?

Im trying to make a server for me and my friend to play together, and when i downloaded "Minecraft.Server.exe", it will only let me open it with a program, ad it never helps me. I tried looking it up on gogle, but nothing would help me. If you have any advise, but it in dummy orm for me please! Thanks.