This is a bit worrying because this is normally caused by malware so as soon as you fix it, run all your scans and post back for advice on some other action.
As to the problem, this is the same in Windows 7 as it was in Vista and XP so where I'm sending you is relevant. Go to http://www.dougknox.com and click in the left hand pane, on Win XP Fixes then in the centre pane on File Association Fixes and finally on EXE File Association Fixes. You'll be invited to download the fix, which is quite safe, so do so and while you're in Doug's site also get the LNK fix because that may be necessary as well.
When you double click on those fixes, it will modify the Registry to put things back to normal so accept the warning and go ahead with it.