Not all executable files can simply be renamed to act as a screensaver. When Windows finds a file that appears to be a screensaver, it will expect it to respond appropriately to certain command line arguments, specific to screensavers. If it does not, the file will not be run as a screensaver.
Just to make sure, try a few other screen savers and see if they don’t give you the same problem. If they don’t, then the files you already downloaded may be incompatible with Windows.