In the default configuration, right clicking on a data file in the Explorer brings up a context menu specific to that file type and that double clicking activates the default menu item. In most cases the default menu choice loads the data file into the application that is associated with its extension.
But some files might be opened by more than one application. For example, you might want to open a .DOC file into WordPad rather than launch the much larger Word for Windows. In other cases, an extension might have multiple meanings and associated applications.
If you hold down the shift key while you right click on the data file, then the additional item Open with is added to the context menu. This is much quicker than opening first the application and then to navigate to the data file in the File Open dialog.