Did you download via the downloader from the website? If so...if you clicked download, it would have only downloaded the "downloader" which is a small blue window. Then from there you have to press start to start downloading. After that it will come up with the exe you said, something like "Crossfire_OBV056". That is the installer. You open that and follow the instructions (not that you can read it) there and install. Then register from the website. It will give you a number-thats your login ID. Then open up Chinese Crossfire via "QQlogin"(one of the files) , login and PLAY!
XD lots of reading for you
Hope i helped, thank me :O