2 possibilities I'm aware of:
1. The file extension was changed to TXT while downloading, so you have to rename the file and change extension to CMX.
2. Your Windows associated CMX files with Notepad, so you have to:
a. Right-click the downloaded file
b. Open With
c. Choose Program...
d. Click CorelDRAW
e. Check "Always use the selected program to open this kind of files"
f. Ok :)
Check this tip from CorelHOUSE www.corelhouse.com/.../where-to-save-artistic-media-for-coreldraw.html