So I have tried downloading all three links but they all come up the same asking what i want to open it up with. Not thinking I chose dosbox cause that i under a killing moon used. I think i screwed myself cause im pretty sure thats wasnt right. And now I cant get it back to the default program to start setup. Im not to good at computers just like to mess around from time to time. I have windows 7 and mozilla firefox if that helps. Any help would be much appreciated.

Did you launch the game from the shortcut or straight from the game folder? I'm not sure I understand what you've done is the game installed? If your talking about during the installation you choose to pickout dosbox by itself rather then use the gog supplyed one and now can figure out how to run it just uninstall the game and reinstall it with gogs dosbox added in.

No it is not installed. As soon as I click on the download link from gog it asks me what i want to open the file with. For some reason the first time I tried to downloaded it it opened with vlc media player. I know thats not right and the only thing close I can think of is dosbox but that doesnt work either. I hope am not being to confusing. Appreciate the help

The account browser will have 2 download links, one of them is for the gog downloader in which case you would need to open the file with the gog downloader. The other is the browser, I recommend you use the browser if you have a good internet connection and can download all in one go. Just click the browser download link and change it to save as, then save it to a folder you will beable to find it in(or the desktop). Once it has fully downloaded find the folder you installed to and then double click the .exe file and follow the instructions the installer gives. After its installed you will have a desktop shortcut or startmenu shortcut you can use to play the game without having to mess with dosbox.

I think the problem is similar to one here. But I admit I've no idea what the cause could be. I downloaded the game via downloader and right now via browser to check the file and both times I had normal .exe file.

This only applies if you're using your browser to download the files. The download process with gog downloader is different and it would require you to install the downloader.
So, to download using your browser,
You'll have to download the 3 files and save them to a folder on your HD.
File 1 of 3 (2 MB) is an .exe file
File 2 of 3 (1.9GB) is a .bin file
File 3 of 3 (735 MB) is a .bin file
If left clicking on any of the links is causing that situation where you're being asked what program you want to use, you can try to:
-Create a folder somewhere in your PC,
-Instead of left clicking on the link of the file you want to download, try right clicking on the link and choose the option "Save Target As", and then save the file on the folder you previously created.
If this works, keep in mind that you'll need all 3 files saved to the same folder in order to be able to install the game.

The file being download does not have a file extention (the '.exe' at the end to let Windows know how to handle it).
Just download the file and choose the SAVE AS option. Once it's downloaded, navigate to the folder where the file is, right-click the file and choose RENAME. Keep the name the same, just put ".exe" at the end of it.
Now double-click the file to run it, and it installs correctly.

I'm aware. I only meant that in both cases downloaded files aren't executables - as it should be.

I don't understand what you guys mean. All 3 files have extensions.
setup_overseer.exe
setup_overseer-1.bin
setup_overseer-2.bin
I'm using Internet Explorer 8...

the three files need to be downloaded in the same folder or place. you click on the exe file to install. if it doesn't open then one of the files is corrupted & you need to down load again.