When one clicks on a file in the explorer or in this document it only will open up a file if a default program is associated with it. You can make the IDE the file that is activated when you click on a GMS ,LST , LOG or PUT. You do this by starting up the File and Options dialogue and select the File Extensions tab
then you enter GMS in small box on the right and click on Add or press the Defaults button which will add GMS, GDX, LOG and LST files.