First, you'll have to go into your folder settings and make sure that file extensions are being shown. Then rename the file to setup.exe or whatever you like. I'd recommend blue_comet_setup.exe should you need to re-install it for any reason.
Now that the file is a proper executable and not just 'setup', it should run when it's double clicked. This is a kown ussue with some internet browsers and the Simulator Central store.
Hope this helps,
Kieran.