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Fortuk: I don't know what causes this to happen, it seems quite random, but I found a fix for it. If you're getting a .sh file when you're trying to download the Windows installers, do the following: click on the system tab on the download page at the top left and set it to Mac. Now go the installers and pick a DLC installer to download (only switching tabs isn't enough). When the notification pops up it should end in .pkg. Note that you don't need to actually download the file, just to have the download request pop up. Now click on systems again and set it to Windows. That done, click on the DLC installer that you want and the notification should pop up with .exe at the end. If this doesn't work, try adding the extra step of going to Linux first and doing the above, then Mac and then Windows.
Leogon: Thank you!
I had the same problem, I never even heard about this .sh extension so it seemed to me like the files were corrupted. Your solution worked perfectly.
Glad to hear it! A solution beings useful to someone at a later date is why I always try to post them when I find them, because there's nothing more annoying than finding a thread that deals with the specific problem you're having and then no-one bothering to post the solution they found to it.
Still not fixed. The same problem occurs: Getting .sh-files although "Windows" is checked.

This worked for me:
Choosing Windows manually (although preset....) ... tadaaa! >>> .exe-files!

Great game by the way. :)