My browser doesn't know what to do with files with the extension JNLP
If, when you following the download link your browser complains it doesn't know what to do with the file you have just downloaded, it'll be because you don't have Java webstart installed correctly (if at all) on your machine.
The best course of action to take in this situation is to visit the Java download page and install the latest version recommended for your platform. Once this installation has completed, use the download link for your exam again, this time the Java Webstart system should start and install Athena on your system.