Normally the file should open automatically. Try adding ".exe" to the filename by renaming it, and then opening it again. The file extension should be .exe if you downloaded it from TSZ, otherwise you won't be able to install it. When it's right, you should also see the icon of the Add-on Handler as the icon of the exe file.
If you're unsure, try downloading the file again. Make sure you save it properly, using the exact same filename (with extension!) as the original.
Note that some sites also pack the program in Zip format (for example TheSimsWorkshop). If that's the case, you'll need WinZip
or a similar tool to extract the file first.