The PGN files are only text files.
If you only want to see the moves, you can just open them with the notepad or word.
If you want to replay games from databases, you could use this free software (that is very simple to use and include some engines):
http://www.triplehappy.com/downloads.html
What the title says!
Always when i download a PGN file, i can't really open it succefully. It shows a box saying that Windows can't open this file. Windows must know which program should open the specified file. Then, there's two options: Use web to find the correct program, or select a program in a list of installed programs(Sorry, as i'm not english, it may contain some errors in comparison to the original).
So, what would be the solution? Download a specific engine to do that?