Permission Denied After Trying To Open .jar File

I'm trying to set up my own Paper Minecraft Server, so I downloaded the latest file version. First what came up was, "This file may harm your computer, are you sure you wan't to keep it?" this is normal when downloading any java file, so I pressed "Keep." After that I try and open it through finder (because it won't let me open it through Chrome because it's from an unauthorized developer). I right click on the file and press "open." Another prompt comes up saying, "are you sure you want to open this?" and I click "open." Now, this is where the trouble begins.

After I click open, nothing happens. After getting a little confused, I try to open it again, and, again, nothing happens. After this I think it might be a bug, so I try to open the file through Terminal. I drag and drop the file onto the command line, and press enter. Afterwards a message comes up saying:

-bash: /Users/[myName]/Downloads/paper-1.16.4-404.jar: Permission denied

I knew what to do in a situation like this, so I drag the file in again and put,

sudo



before it. When I press answer, another message comes up, this time saying:

sudo: /Users/joshuaault/Downloads/paper-1.16.4-404.jar: command not found

At this point I have no idea what to do, so I search the web for answers, and I come across an article telling me to put,

nano

before

sudo

I try this and when I press enter it then opens the file in GNU nano. So now I'm hoping that someone here knows haw to fix it.