File doesn't open in Applications in OS X

[Jane Sprando]

Several times I try to open a file and I get a box that says "there is no
default application specified to open the document"  Choose Application."

So another box "Choose Application" appears, listing my Applications/files
on left side and the contents of folders on the right side.  At the bottom
of the box there are options:

Go to: type in something

3 Buttons:  Add to Favorites              Cancel       Open

Today I needed to open a saved game document from I Spy Treasure Hunt.
Thinking that I know what to do (What WAS I thinking???), I selected the
Games Folder and the contents of that folder appeared on the right side of
the window. I clicked on the correct folder, which then appeared on the left
half of the window and its contents on the right side.  This is where I go
wrong.

On the right side is the game icon and I would think that is what I would
choose to open up the saved game. However, that icon is grayed out. What
step am I missing?

Also, when do you use the Go to box  and Add to Favorites?

I hope I haven't confused you trying to explain the steps that I took.

jane