Windows uses file extensions or file associations to determine what program to open what type of file with. For example if you have a Word document called resume.docx then the .docx on the end tells Windows to use Microsoft Word to open the document. If you don't have Word installed on your computer and you try to open a .docx file then Windows doesn't know what to do with it and will ask you what program you want to open the file with. If you don't see the last 3-4 letters after the name of the file like .docx or .jpg then you need to enable Windows to display them by disabling the hide known file extensions option in Windows Explorer.
Keep in mind that just because you tell Windows to open a certain file type with a certain program that it will actually open it correctly.