Firstly you have application to open SPSS file and also please check below points

It must be  correct format (.sav) for SPSS.
Ensure file size be should be greater than 0 byte. If the file size is 0 bytes, it indicates an incomplete download. Try downloading the file again.
Rename the File: Occasionally, renaming the file can resolve the issue. Change the file name like (e.g., "project_data.sav").
Instead of double-clicking the file, open SPSS and use the “File > Open > Data” menu to navigate to your Downloads folder and open the file.
Sometimes file extensions can be hidden on Macs. Go to Finder, then "Preferences," click on "Advanced," and ensure "Show all filename extensions" is checked.