Whenever Windows XP or Vista run across a file type the system doesn't recognise (regardless of whether you do or not), the user is prompted with either selecting a program to open it or to "Use the Web service to find the correct program"—which has yet to work even once, at least for me. The How-To Geek shows how to disable this prompt and head straight to the program selector, using a quick registry hack.
To disable the prompt, you could just head to the Geek's post and download a pre-compiled registry tweak. Those who don't mind a little fixin' can head to the following folder in RegEdit (or paste it into another editor like RegScanner:
Then create a new 32-bit DWORD value, title it "NoInternetOpenWith," and give it a value of 1. You should then be free of semi-useless prompts for clarification.