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Just to make sure, I tested this on two random pc's at work today. Downloaded the installer from the latest download link at http://opencv.org and then just double clicked the exe.

This was the result, which is exactly what should happen:

Do you have any zipping software on your system? Mostly if extensions get screwed, malware or virusses are active on your system. Do a deep scan with software like malwarebytes anti malware just to be sure.

Also what you could try is to fix standard associations of extensions in windows by following this link.