Once download is complete, I dont know what to do

Honestly, I think my computer is downloading them... incorrectly? When I hit download the little 'downloading' bar appears at the bottom of the window next to an internet explorer logo (I've tried using Chrome and Microsoft edge). Then, I cant find the download in my files. When I click the downloaded Rom on the bottom of my browser's window it just attempts to open an internet explorer window with a bunch of nonsense text. Can anyone guide me in the right direction?