The primary reason you are seeing "xzm" in a download context is likely related to , a portable Linux distribution.
It is a compressed module format (specifically a SquashFS filesystem compressed with LZMA2).
Instead of installing software normally, Porteus "activates" these modules. When you double-click an .xzm file, its contents are instantly injected into the system's directory structure without a lengthy installation process.
When you see a file named index.html appearing during an .xzm download, it usually indicates a or a server-side redirect : How does .xzm files actually work - Porteus forum
