Are you unable to open them because you don't have the software (e.g someone sent you a Photoshop file, but you don't have Photoshop), or are you unable to open them because Windows thinks the file is corrupt ?
If the former, then what is the file suffix ? If the latter, then perhaps get a fresh copy sent, or make sure your anti-virus has not blocked it.
As a side note, I don't think the feature exists on desktops, but on servers, you often need to right click on the item, go to properties and hit "unblock". But as I said, this is generally on servers that have a more locked down OS.