What file extension does it have? .EXE ? .html ?
Anyway, generally if you execute downloaded files, the external program that will open that file will not use TOR.
If you want a program to connect to the internet only via TOR and not directly, you have to set up it's proxy settings.
You have to tell that program to connect only via this proxy: 127.0.0.1:9050,
where 9050 is the TOR port , by default.
p.s. But once in a while when they update TOR , they change the default port