If the path to this file has a space in one of the directory names, and/or the path to the .exe has a space in one of the directory names, chances are that the command and parameter at the
HKEY_CLASSES_ROOT/string/shell/open/command are not enclosed in double-quotes.

To find the string, at a CMD prompt, type: assoc .ext where .ext is the extension of the file you double-clicked. This will return the string.

Navigate to the <No Name> value, double click it, and enclose the full path in quotes and each parameter in quotes. Example:

C:\Program Files\Windows NT\Accessories\wordpad.exe %1 at
would become "C:\Program Files\Windows NT\Accessories\wordpad.exe" "%1"

Note: Some programs work regardless of wether the quotes are there or not. Some programs use 8.3 convention instead of quotes.

While your there, if there are other Actions for this string, such as print, correct them also.