Why can't I run a minecraft server?

When I try to download the minecraft.exe a window pops up that says that I can find a program to run it or that i can save it. When i try and run the server it comes up that it can't find a program to run the program. When I try to find a program to run the server program it just takes me to a web search on google. Also, the program doesn't have the minecraft symbol on it like a dirt block, it is just a blank page. I run on windows 7 operating system thank you.