Try going into explorer prefs (tools->folder options->view would be one way to find it, not sure if xp is the same), and see if "hide file extensions for known file types" is checked. If it is, uncheck it, and hit ok.

Make sure your file has an appropriate extension to it (like .avi)... I'm guessing this is the problem. If it doesn't, you should be able to rename the file and add a .avi (which is why you want to unhide the extension). It'll complain a bit and then say "ok" and there you'll have it.

Generally stuff showing up as "file" is stuff without an extension. Windows doesn't do things like mime type checking, it just makes the assumption that the extension is correct. You probably can't get a program to associate with the type, because there's no extension to match, so it doesn't know what filetype you're trying to make a rule for.