First I go to the following URL to download the latest version of VLC Player, which I greatly prefer to Totem or any other standard Linux video/audio player: http://www.fileguru.com/Movie-Player/download
. After I click on the "Download" link, a new window appears which asks me if I want to 1) Open with Archive Manager (default) or 2) Save File. There is a drop down arrow next to the first choice which only gives "Other..." as the only other choice. Well, if I choose the first option, the download appears as an .exe file in the "Downloads" window.
What happens next totally loses me!! A window with "Download Error" in its Title Bar appears with the following message in it: "/tmp/VLC_Player_Setup-3.exe could not be opened, because the associated helper application does not exist. Change the association in your preferences." Huh?? I don't even know yet how to even open up an .exe file in Linux, despite repeated research.