Assuming you're using Windows, strictly speaking it's not that your computer necessarily doesn't have the program to open the file, just that Windows doesn't know which program to use to open the file by default.

If the file has an extension, you can save it do disk then right-click on the file and select Open With... and pick the program to use to open it (at which time you get the option to permanently associate the program with files of this type - Always use the selected program to open file of this type).

If it doesn't have an extension you can save it and then rename it with the extension it needs, or you can leave it without and extension and if you double-click the file it will ask you which program to use to open it.

Mick