*sigh* this isn't a programming question.
but basically the file type isn't one that Windows recognizes (i.e. it doesn't know what program to use to open it).
for example, if I have a .PSD file, it's probably a photoshop file that can only be opened with photoshop. if I don't have photoshop, windows obviously won't be able to do anything with it.
would help if you post the filename and extension of the file you're trying to open.