You might encounter a situation where you may not be able to open any .exe files or shortcut link files, i.e., EXE or LNK files. You might instead get a “Open with” dialog box, or it may open the file ...
You're probably aware that most files have an extension such as TXT or EXE after the file name, even though these are not always displayed in Windows. File extensions are how Windows knows what to do ...