Which programme do I need to open afile with?

Hi, I've downloaded Stream to my laptop so I can play Magicka and a few other games. When I try to run it my PC keeps asking me which program I want to open it with. It only offers media based programs (adobe, media player etc) It also does this with games in general. Why is it doing this, what shoud I do and how can I fix it? Many thanks to anyone that can provide info.

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