I've received an attachment and when I double click in order to open it, Outlook prompts me which application I want to open it with.
Which application do I choose?
I've got no idea ;-) It all depends on the extension of the file.
For instance; *.doc opens with Word, *.xls opens with Excel, *.dwg opens with AutoCAD, *.pdf opens with Adobe Reader, etc...
In general, when you get prompted to choose an application, it means that you don't have a supported application installed.
Finding the correct application
To find a supported application to open your attachment with, you can locate it in this Wikipedia article or use the popular DotWhat? website. Here you type the extension and the website will tell you which applications use this file extension.
Note 1: The same extensions are often used by multiple applications but are completely unrelated. For instance *.php files can be a file containing website scripts but also a "Microsoft Picture It! Project File".
Note 2: When in doubt; always contact the sender of the attachment and ask with which application you are supposed to open the attachment with.