Usually, Box.net uses the paper icon if they don't have an appropriate icon for the file. For instance, *.m4a files (which are music files) have the little paper icon. They download as music files though.

Give it another try, and try to open it once it's downloaded. If it still doesn't work for you, let me know and I'll try using a diffrent site. I like Box.net for fanmixes because it gives people the option of listening to the songs before they download the whole thing. :)