When you try to open a file that your Mac doesn’t already have a default app registered to, it doesn’t know what to do, so it either asks you to choose the application you want to use, or it will — if you so desire it — unceremoniously dump you back to Finder.
That’s actually not a very elegant way to handle unrecognized file extensions. Windows has a better system, for goodness’ sake: it will automatically search the web for applications that can open the file.
Luckily, with the arrival of the Mac App Store in January as well as the release of Mac OS X 10.6.6, that’s all slated to change. As it turns out, Apple has very cleverly deigned to integrate the App Store into the prompt you get when OS X doesn’t know what to do with a file: you can now search the Mac App Store for one that’ll work to open it. Keen!.