You downloaded a PC app that probably was a virus, but it will not work on your Mac. There are no viruses affecting OS X at this time. In the future resist the temptation to click on anything that comes in an email source you know nothing about. The IRS doesn't send you email nor does your bank or other financial institution of any repute. These emails are all scams.
While there are a couple of trojan horses in the wild, that require you to download them, from the sounds of it you tried to open something for the Windows system, since DOS (Disk Operating System) is the basis for Windows.
If you want to check, download the ClamXav antivirus program from http://www.clamxav.com and have it scan your disk. I have used it for years to scan incoming mail and downloads, and recommend for anyone who wants antivirus protection. While some point out there are no virus's today for macs, which is true, like the stock market, past performance is no guarantee of future performance. Plus, if you snag a windows virus, you can dispose of it and not unknowingly potentially forward it on to your friends.
After a scan, assuming it doesn't find anything, your will feel better.