LinuxQuestions.org - Trying to bring my printer on line........

Hello,
I am running Fedora Core on my PC and I've installed a Brother MFC 210- 6in1 printer and experiencing difficulty. I had been using a HP printer, which worked fine. I didn't have to install any drivers I just plugged it in and began using the printer. Although with this Brother printer, I am having a bit of trouble. The first thing I did was to configure the printer manager and set up the printer. The set up went fine; Fedora recognized the printer and everything's fine. But when I attempt to print a document it shows up in queue but will not register on the printer itself. I assumed it was the drivers, so I tried installing the software disc for the unit but the software is written for Windows. I went to the Brother website searching for drivers for this particular unit, I located the drivers and downloaded them. When I attempt to open the software a dialog box opens and reads:

No Action Associated
There is no action associated with "brxlnk_3_102 us.dmg."
You can configure GNOME to associate applications with file types.
Do you want to associate an application with this file type now?
I am then prompted to proceed or cancel.
I proceed and it then reads:
Edit File Types
Then it gives options.
I don't know what to do here. Could someone offer some help here? What do I enter into this dialog box in order to set up my printer?

Thank's for your help!