Hello, and welcome to this Apple 9user-to-user) Community!
Re:Can't open downloaded file on MacBook Air
Wondering what kind of file it is that you want to open and if it is compatible with your Mac ... are you able to see the file extension (letters that com after the dot at the end of the filename eg; image.jpg, video.mp4 file.pdf etc.)
Perhaps the file is actually an app that you want to install ?
ie: not all apps are compatible with MacOS, ( eg: some may require Microsoft's system}
some files may only open in certain apps,
some third-party (non-Apple) files may not open unless you first download an app that can open it.
or you may just need to choose from several apps which app you want that kind of file is to open in.
Suggestion:
If you use two-fingers on the trackpad to click on the file, a small menu opens, and you can choose "open with"
to choose from any (highlighted) apps that may open the file ...
or
you can choose "get info." from that same menu
A small window opens with various info. which may include the file extension so we know what type of file it is.
Also, near the bottom in that info. window, is an "open with" selection ... click the tiny arrow to see all apps (if any} that are possibilities for opening that file.

More info. on downloaded items: Download items from the web using Safari on Mac - Apple Support
All the best :-}