Every file type (the extension) has an application associated with it. That application will open the file and do whatever is appropriate when you double click on the file in Explorer or run the file from the commandline in Windows NT. In Explorer as you scroll through a folder's list of files, you will set a common set of icons next to some of the file names. Files with the .txt extension will have the notepad icon next to them. Help files will have the yellow question mark icon. Word files have the blue W icon. Exactly which icons you see displayed depends on which applications you have installed and the associations established linking a particular extension with the application.
By default, Windows hides the file extensions. To change this and other options, in Explorer, select View / Options and under the View tab, you have the radio button selection to either
Show all files
--or--
Hide files of these types
If you change to the option Show all files, when you browse, you will now see the file extension displayed. The association determines which application will open the file when you double-click on it. This relationship also determines the contents of the context menu when you right-click on a file in Explorer. Right-click a .doc word document and compare the context menu with the context menu when you right-click a .zip file or .wav file.
To quickly change default application of a file type, select the file (that is single click on the file name so it is highlighted), hold down shift key and right click the mouse. Click Open With and pick the program you want to open this file type. If you want to make this a permanent change, select Always use this program to open this type of file on the dialog box.