If it pops up a dos box for a spit second, then it's running something (i.e. it actually is an executable, not an image or zip file or whatever). Check the file size on it. If it's small, I would suspect that it's a virus/trojan of some sort. I suggest killing it, updating your antivirus, running a full scan, and watching your computer carefully for anything out of the ordinary.
I don't mean to sound paranoid, but I've had an exe file do that same thing to me once and after digging around quite a bit, I found out it was a trojan.