you have to type in the correct url :
assuming that you have xampp installed correctly and have php and mysql services started, and that you copied the complete folder named phpBB3 into the root folder of xampp, it should show up for you to install.
it is not a "file" it is a folder and is should not be on your desktop at all.
when you download it from here, you will have a zip file.
you unzip that file and you will have a folder named phpBB3 ( exactly like that ).
that folder should be copied into the root folder of your xampp installation.
then you go into the phpmyadmin and create a new blank database and give it a name and create a username and password for it.
note that database name, username and password because you will need it for the install of phpBB.