Before you can do anything you need to know what program is supposed to open the file and you must also have it installed on your PC. If you are ok on both these requirements then the easiest way is to right-click the file, choose 'Open With' and 'Choose Program' from the menu. Now either highlight the program in the list or use the Browse button to find it. Before clicking on OK put a tick in the box labelled 'Always use the selected program to open this kind of file'.
If you don't know the program to use then post back with the extension of the file and someone may recognise it.