Many people will wonder what a file is for because it may not have an icon over it to show you what program it works with. I recommend you turn on you file extension. This means that your files will no longer say 'myfile' they will say something like this: 'myfile.pdf'. That way, you can see what program based on the extension opens this file. This file happens to open with Adobe Reader.

Follow up:

Doing this will also give you some added security if you use it right. There are files called executable files that execute code. These are used to run applications or install them. They are, for the most part, the application. However, some viruses and spyware are .exe files. In order to check if a file is a virus or not do a google search of the file including its extension. For example search 'myfile.exe' and there may be information about it. Remember to not download these attachments. These are the most lethal. There is less worry from other file types.

So now you know the first two important reasons to turn on file type extensions lets make sure your computer has it turned on.

Open up My Documents then go to Tools >> Folder Options... In Vista, press the Alt key to view the top bar. Now a new window is open; click the View tab. Now look for the checkbox that says 'Hide extensions for known file types'. Make sure that it is 'unchecked'. Press ok and close out. Files should now show their file extensions.

Now that your files show their file type extension, you can easily find a program for the files that you are unsure what program goes with them. If you find a file that has an file type extension .odt you can Google search 'odt file extension' and find out what programs open an .odt file. Or use http://filext.com/. This file happens to open with Open Office, an free alternative to Microsoft Word.

List of common file types and their applications.

Reference:

http://www.fileinfo.net/common.php
http://www.mantex.co.uk/ou/t171/t171-05.htm

Related Questions:

How do I unhide my computer file type extensions?
How do I show my file type extension?
How do I find out what program will open a file?