Now I see.

Alright, so if you've not already decompressed the download it's filename will end in ".tar.bz2". In this case, right click it and look for an extract here option. Click that, and once it's done you will have a folder without the suffix.

In the folder there is a file called "monero-wallet-gui". Right click that file, and select properties.

A window will appear. Click the permissions tab, and make sure to check the "allow executing file as a program" box. Then close the properties window.

Now highlighting the monero-wallet-gui file and pressing enter should launch it.

If you did all of that and it still doesn't launch, let me know and we can figure out why.