I dont know much about ebooks, but I know that when you download DRM-protected .epub ebooks from online stores, you don't get the .epub file but the .acsm file. This is the authentication key you must activate to download the epub file itself. You can do this by double-clicking the file or opening it in Adobe Digital Edition.
Yet, FIRST of all, you must install Adobe Digital Edition on your computer and authorize it with your Adobe account.
hope this helps