I have Windows 7 x64 Pro. This problem happens only with removable drives.
Whenever I double click them I get an "Application not found" error, instead of having explorer displaying it's contents. This is because the default action (the one that appears in bold on the drive's context menu) is not what it should be ("open"), but "Install or execute programs on the drive". The solution here is simply to put it back to normal, like with any other folder or fixed drive, and, possibly, remove this entry, wich I cannot figure out how it got there in the first place... I can still "open" the drive by right clicking and selecting "open".
I ran into this kind of problem on Windows XP and it was fairly easy to fix, but I cannot find a solution on Windows 7. Do you guys know how this is done?
Also, note that my system's language is not English, so the messages I posted are translated by me and may not be exactly the ones used in your version.