Purchased & (tried to) download BGEE & SoD. When I check my downloads, I see it under my VLC media player format for some reason. (& then the program opens on its own & tries to launch it- ending in an error message, of course)

Why is it doing that??

Because it's a .bin file -- VLC has set .bin files, which can also be disk media files, to be associated with itself. The problem you are having is because you do not need to interact (click on) the .bin files at all. Those files just need to be placed into the same folder as the executable (.exe) file, and then you click on the setup_baldurs_gate_enhanced_edition_2.1.0.3.exe installation file. Just to be clear, you need these three files all in the same folder:

setup_baldurs_gate_enhanced_edition_2.1.0.3.exe
setup_baldurs_gate_enhanced_edition_2.1.0.3-1.bin
setup_baldurs_gate_enhanced_edition_2.1.0.3-2.bin