First off, it's usually a double-click to open, not just a click.
Second is to be sure that you extracted the appimage file from the zip file it comes in. Then double-click the appimage file.
Third... if double-clicking doesn't work, try opening a terminal in the folder where the file is located (often in Downloads) and run it by starting to type: ./etch and then hit the TAB key so the Linux will finish typing the appimage file name for you. Note that command begins with dot slash etch (no spaces) and then hit the TAB key.
If it doesn't run, either you are mistaken and it is not set to be executable, or else you have a bad download and the file is corrupted.
Cheers