You will have to associate that extension with your application. You do this through windows.
If that extension is not already associated with a program you can just double click that file and then choose your program. Otherwise you'll have to go through Explorer to do that. Or, if your're running Xp then you can right click and choose Open With...
Before your program will open that file, you will need to setup your program to process the Command arguments. The path of the file the user double-clicks on will be sent as a command line argument to your program. You will need to process this and do whatever in your application to open the file. You can do a search on this forum for Command and get many results.