From the looks of it, your files have been associated with Internet Explorer. How long has this been happening? To change your file associations, right-click on a file and go to Properties. Next to Open with:, click on the Change button. This should bring up a long list of programs. Choose the appropriate program and click OK. So...if you wanted to change a text file back, you would choose Notepad or Wordpad.
But I have to ask...
Is this happening with all of your files? Or just the ones on the desktop?
Are any of them unaffected?
What protection do you have? This sort of thing doesn't normally happen on accident...