It sounds like your download actions might have gotten changed accidentaly. The document you pointed out does have a .sit and should open with StuffIt Expander. There are a couple of things you can try:
(1) If you have another .sit document in your computer, simply do a command I to get its information. Make sure that the application selected to open it is Stuffit Expander and not MS Word. If Word shows, you can change the application and also click the button to change all.
(2) It might also be easier to use one of the free applications to change your default settings. For example,
RCDefaultApp. Once it's installed, it'll appear in your System Preferences as Default Apps. You can then tweak what applications should open specific document types. It's a very handy system preference to have.
