This occurs on 2 different machines a dual-867 and a 1Ghz tower both running 10.2.5. This happens to all files created in programs running in classic mode: Photoshop 5.5, Quark, MS Office 2001.
The problem is if, for example, I click on a Word 2001 document, Word 2001 the application will open just fine but the document I just clicked on won't open with Word. I have to then go to the File>Open and navigate to the document to have the document also open up. This only happens to files associated with classic programs.
In a nutshell, I click on example.xls on the desktop, Excel opens but example.xls doesn't open with Excel.
No problems with files associated with OS X applications.
Thanks for you help!