Your Windows file association for .mp3 files is messed up. Assuming you have Windows XP:
1. In Windows Explorer or My Computer, click on Tools | Folder Options | File Types.
2. Scroll down the list of registered file types until you get to the .mp3 file type, left-click on it once to select it, and click on Advanced.
3. In the list of Actions, "Play" should be the default (indicated by bold print). If "Play" isn't the default, make it so. If "Run" is one of the listed actions, remove it.