The message “Windows cannot open this file2 is always displayed when a user tries to execute a file with a file extension unknown to Windows. Windows is giving the user the option to search the Internet for clues on how to handle that file or pick a software from the list of installed applications of this computer.
I never - and I really mean never - experienced a successful search when using the Internet search. I decided to get rid of it completely to be able to pick a software from my computer at once. If that would still pose problems I would simply use a search engine to research a software for this file extension.
The Registry needs to be edited again to change this behavior. I’m sure some of you know a software that can do it but as always, I like it the hard way and describe the manual way.

Press Windows R, enter regedit in the Run window and hit enter. Now navigate to the key:
HKEY_CURRENT_USER
\Software
\Microsoft
\Windows
\CurrentVersion
\Explorer
and create a new Dword with the name InternetOpenWith. Close the Registry afterwards and test it by renaming a file extension to an unknown one. You will witness that the option to search the Internet will not be shown anymore for unknown file extensions. The Open With dialog window will be shown instead instantly.
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