If your browser attempts to name the downloaded file download.cgi you should save it to disk and then rename it with the appropriate extension. This bug has been reported in various browsers, including IE for Mac OS X.
It is not very important what the filename is, as long as the extension corresponds to the correct type, either .zip, .tar.gz or .tar. The extension is listed in the select box for compression above. So, if you downloaded FormMail in .zip format and your browser tried to name it download.cgi, you should rename it to something like formmail.zip and try to uncompress it as usual.
Most people should have no problems downloading the scripts using this form.