Audiobook download into Adobe DIgital Edition using Overdrive

I recently downloaded Overdrive which is the application used to download audiobooks from my county library into Adobe Digital Edition. When I try to download Audiobooks I get an error message saying "Windows cannot open this file....To open this file Windows needs to know what program you want to use to open it......"

The Overdrive program is not listed in my Windows Vista...Could you advise me?.

Thank you