Some files are compressed ('zipped') while others date from the good-old days when a Word file was just that and no more.
So, if things aren't working for you (or you're using an Apple product), try this little workaround.
Instead of opening a file's link, save it instead. And save it on your desktop so it's easy to find.
Then, using your object program (probably Word or Excel), open the file you've saved on your Desktop.
Doing it this way always works for me whenever I hit a similar problem. Good luck.