This means that you are trying to open something your computer doesn't know about. Be careful as it may be a virus someone has sent you.
To create a file extension:
1) Save the attachment to somewhere on your PC.
2) Right click it and choose properties
3) Click on the "open with" and choose the program to open it with.
Bear in mind that if someone has sent you something for a program which you don't have then you won't be able to open it.
One last word of advice is NEVER open an attachment from someone you don't know.