I presume you are running XP, if so open a command prompt (start/all programs/accessories/command prompt)
at the c:> prompt type the path of the file you are trying to open (tip here is to put the file in drive C, then you wouldn't have to type a path at all.
once you are the correct directory, simply type the name of the file you are trying to open without its extension.
ie. for sport.exe you would just type
sport +press enter
p.s. if you are running windows95/98/ME, then the file should open just by double clicking.