To tackle just your first issue: what kind of documents are you downloading?
If they are MS Word compatible they should open in Libre Office. If they are
pdf files Okular, and several other (K)Ubuntu apps will open them. Plain
text files open in Kate and other notepad-like apps.

There is always the possibility that the files are corrupted or that they
contain Windows viruses. Viruses wont affect your Ubuntu installation but
they wont open either.

Do you have a recent version of Ubuntu? Current one is 11.10, nicknamed
"Oneiric", which was released this month. The current long-term support
edition is 10.04, released in April 2010. Don't use anything earlier.