/Windows is not a command, it's a directory.
I didn't really get your question very well. You can access your windows HD/partition right? (It is "mounted" right?) And the problem is that it doesn't open the file, but shows the properties of it when double clicked?
If that is the case then search somewhere in your file manager (where you see the directories and can click them), "view->preferences -> behavior", etc.
You can also select with what program you want to open the file by right clicking it, and the selecting by yourself. People GUI oriented like yourself, probably would like Totem as a video player (check the repositories of your distribution).
And "applications" on your windows can't be run on linux natively, you could use a program called wine to kinda "emulate" windows, but you'd rather use native linux programs in place (usually a LOT less buggy and faster that those of windows).