Yep...you need to know WHAT someone is sending you....whether it is a music file, a zipped file, an Adobe PDF file, some cute little animated cartoon...whatever.
If that file is attached to your email, your computer will attempt to look up what it is supposed to do with such a file...id it finds no instructions, it may ask you if YOU know or have a preference, or it may just do nothing.

It also makes a difference whether the file is embedded in the body of the email, or is just a separate attachment. Can you see ANY name for the file you are trying to open? And do you trust whoever sent it to you?