Try opening ADE (Digital Editions) and dragging the downloaded file from explorer onto ADE.
What file type have you got so far: .acsm, .epub, .pdf?
The normal sequence is that you download a .acsm token file, typically in the browser.
You then open the file in ADE; this opening is often automatic if everything is set up right.
ADE then downloads a DRM file that contains an encrypted copy of the book, in .epub or .pdf format.
You can open any of the respecitve file types in ADE by drag/dropping from explorer.
You can also open .epub and .pdf files by using library/open in ADE.
You can also associate filetypes with applications: typically
.pdf files are associated with Adobe Reader (best for non DRM ones, but won't handle DRM ones)
.acsm and .epub files are associated with ADE.
Sometimes the registration of ADE to Windows as the default hander for .acsm and .epub files does not work;
that is what causes the double-click in Explorer to fail; and usually prevents opening from the browser as well.
especially in Windows 8/8.1, and maybe 7;
this appears to be a bug in Windows (for once not a bug in ADE).
Two possible ways round it.
First, try to force it in Explorer
Right-click on a .epub file (and repeat entire sequence for .acsm if necessary)
Select 'open with' if on the list, 'open' if not.
Select 'choose default program'
Select ADE if it is on the list,
If not select 'more options' and navigate to the ADE executable (may be at C:\Program Files\Adobe\Adobe Digital Editions\digitaleditions.exe)
Now .epub/.acsm files should be associated with ADE, and double-clicking should work.
Sometimes, Windows allows you to go through all that, but then refuses to make the association you have asked for.
In that case, the only way I know is to use a third party file association program.
Thank you so very much. I will try your information.