When I click on the downloaded file I get a message asking me what program to open it with. What does that mean?

On a macOS system the downloaded file is an installer file with either a .pkg file extension (Knitting Font Collection) or a .dmg file extension (Stitchmastery). Double clicking on it will start an installation dialog. No problems have been reported on macOS systems.

On a Windows system the file should have a .exe file extension. However, some browsers manage to lose the .exe file extension and Windows does not realise that it is an installer. The solution is to rename the file to add a .exe file extension. Once the file has been renamed, double clicking on it will start an installation dialog.

On a Linux system, the downloaded file is a zip file. To install, simply unzip into the chosen folder.