I’ve had this one a few times. The issue is that no program has been associated with the file type that is trying to be opened.
Example: “I received a picture in an email but it won’t open”.
Resolution: Go to Windows Explorer and hit Tools > Folder Options > File Types. Scroll down until you see the desired file type, select it and hit Change. Select the program you want to open it with and hit OK. I believe this method only works in Windows XP and below.