Hello and welcome to CF!
When you're opening the file, are you right clicking on the file and then selecting "Choose default program"? You may be selecting a link, then setting the default program for that type of file (link/shortcut) to Cubase 5 or WMP. Try restoring your machine using System Restore under Accessories/System Tools and see if that restores the defaults. If this isn't the case, please explain in a little more detail although I believe a System Restore will resolve the issue.
Humans are the only creatures that won't live up to the their potential. Give everything your all. When you die, die on E.
So I ask you, what do you intend to do now?