You appear to be trying to open a file with an extension that is not mapped to a program. For example, the extension .doc in the filename "myFile.doc" is associated with Microsoft Word by default, so double-clicking on the file opens it in Word.
Fear not, you have at least three ways to fix this. The easiest is to open the program and, in its file menu, open the file.
For a longer-term solution, you can right-click on the file in Windows Explorer, select Open With, go to the bottom of the list which is Choose Program, and select the program by browsing to it. Check the box "Always use the selected program to open this kind of file," and it will be used from now on when you double-click on the file.
By the way, what is the file name and what program should it be opened with? Or do you not know which program should be used, in which case we have to figure out what the program should be.