Assuming that you download it from your phone, You have to go to your downloads and searched for the apk file. You just have to select it and it should automatically install.
Yeah this is very strange, ive had zero issues with other apk files from this site, and have double checked my permissions. It still says can't open file when I click on the file from my downloads. Something strange is happening and I'll just have to dig around more and see if I can figure it out, because the game sounds very interesting and I'd love to play it.