.XHTML files are basically HTML (Hyper Text Markup Language) that are used to display webpages and websites. The additional X in the .XHTML files indicates that the file uses a certain standard that is set by W3.org.
XHTML files basically use XML standards which is more stricter than HTML and allows for proper navigation of documents programmatically.
If you have downloaded a .XHTML file, it is no threat, you can double click on the file and it will open up in your default browser.
If you want to open the file to view its contents, you can also do that by opening it in notepad or your favorite text editor.