That uses to be a system issue. Actually Web Dumper just downloads the files to your hard disk using the original name and extension, your operating system will then set the icon and the associated viewer application automatically. If a wrong viewer is used for your file or a wrong icon is displayed you likely have an extension conflict or the wrong viewer getting associated. You can change the default viewer for a given file, it depends on your operating system:
On Windows, select the file, right click your mouse and select the 'Open With' menu. Select a listed program or select 'Choose Program'. You can then change the default viewer for all the files of this kind checking the 'Always use the selected program to open this kind of file' check box.
On Mac OS X, select the file, right click your mouse and select the 'Open With' menu. Select a listed program or select 'Other'. You can then change the default viewer for all the files of this kind checking the 'Always Open with' check box.
