When you open Games Explorer (shell:games) and attempt to run a game by double-clicking on the icon or clicking the Play option in the Task pane, the following error message may appear:
This file does not have a program associated with it for performing this action. Create an association in the Set Associations control panel.
However, you may be able to run the game using the Start menu shortcut.
This happens if the IsShortcut registry value for .lnk files (Shortcuts) is deleted in an attempt to hide the overlay icon in shortcuts. To resolve the problem, re-create the IsShortcut registry value.
Download and apply the .lnk file association fix from the following link:
File association fixes for Windows Vista
HKEY_CLASSES_ROOT\lnkfile
To remove the shortcut arrow in Windows Vista, see article How to remove or modify the Shortcut overlay in Windows Vista