my MacOS Big Sur cannot open the migration assistant downloaded file! The message I am receiving on screen (You can’t open the application “WindowsMigrationAssistantSetup.exe” because Microsoft Windows applications are not supported on macOS.)

You download and install it on your PC. See the following from the beginning of the "Move your data" section of Move your data from a Windows PC to your Mac - Apple Support

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Move your data

This section guides you through migration, post-migration, and what to do if the steps don’t work for you.

How to move your information from a PC to your Mac

1. On your PC, download and install the appropriate Windows Migration Assistant, based on the version of macOS on your Mac:

• • Windows Migration Assistant for macOS Big Sur
  • Windows Migration Assistant for macOS Mojave and macOS Catalina
  • Windows Migration Assistant for macOS Sierra and High Sierra
  • Windows Migration Assistant for OS X El Capitan or earlier

1. Quit any open Windows apps.

it sounds like you have downloaded a Windows version (.exe) of Migration Assistant to your Mac and are attempting to open it there. That can't be done. You already have a Migration Assistant app installed in your Mac in the Applications folder. The other directions provided above should help guide you through the process.