I'm doing neither. I'm simply running the demo:
http://secunia.com/Internet_Explorer_File_Download_Extension_Spoofing_Test/
If I understand it correctly, they are claiming that you can be led to believe you are opening an PDF file, instead of something else.
The demo actually opens an HTML file. But, it could just as easily be an executable. If I can figure out all the details, I'll create a better demo.
BTW, Mozilla Firebird will do something similar, with one exception: it will tell you that you are opening an HTML file, rather than a PDF file. Since Firebird will warn you separately about opening an executable file, the protection is a little better, but not foolproof for people that open attachments in email from unknown senders.
However, this exploit prompts you for the download, which is unusual behavior if you recognize it. The issue seems to be the ability to obscure the true type of the file being downloaded.