Since you’re saying double-click doesn’t work, I’m also guessing the file icon is not our fine AxCrypt icon, but just a blank.
If so, this indicates that you have not *installed* AxCrypt, but you’re running the portable version.
On the download page, you’ll find 3 different downloads. You’ll want the .MSI (Full Installer) version for 64-bit (most people nowadays are running 64-bit operating systems, if by chance you don’t pick the 32-bit .MSI).
If you’ve downloaded the .EXE version, that does not install anything into Windows, including double-click association etc. But it is very convenient to have on a USB-stick for example, so you can bring to computers that does not have AxCrypt installed.