I know this thread is old, but I'm posting this here just in case others have this same problem.
In my case, I started with a new machine with Windows 10 installed on it. I downloaded a file with an exe extension and another with a zip extension. When I double clicked on the exe file to execute it, it would bring up the window asking me to choose
the program to run the file with. The same issue happened with the zip file. After several frustrating hours trying to figure out what was going on with this, I copied the zip file over to another computer and double clicked on it. Same thing happened. As
it turns out, upon download, the browser or computer is changing the "." before the extension to "_". I changed the "_" to a "." and all is well.