|Did you try selecting EXE from the link mickliq gave you in response #1?|
If whatever you want to open is something other than an EXE then select the appropriate file extension from the list.
Are you showing all file extensions? If not then first go to Control Panel > Folder Options > View. Put a tick in "Show hidden files and folders". Untick "Hide extensions for known file types". I suggest you leave it set that way, then nothing is hidden from you and it will help you understand the function of the various file types.
Please come back and let us know the outcome.