Somewhat confused … Preview doesn't launch when you double-click it? or a downloaded file won't open?
what file extension does this download have? make sure the file extension of whatever you've downloaded is the right one. .zip, .dmg, .txt, .jpg etc ….
you can also right/control-click the downloaded file & use "Open With" or Command I to open the Get Info on the downloaded file & change the "Open With" section from Preview to whichever app is applicable …