Hello. All said in the title. Probably there is solution somewhere around forums, but it's easier to create new thread. For some reason, I don't have "extracting" directories when right click on replay files.
Using steam version of W:A.

Any way to fix that?

See this thread, try BenT17's suggestion and then do what StepS says in his post. Also make sure "auto register associations" is checked in advanced settings.
https://steamcommunity.com/app/217200/discussions/1/613937943165164189/

If that fails you could backup your User folder and reinstall WA. Pretty easy/quick. Might be faster than waiting for a response.

Haha, this is gold. I've actually stumbled upon year old thread where this problem got fixed:

https://www.tus-wa.com/forums/tech-support/(solved)-cant-extract-from-replays-anymore-27762/msg229005/#msg229005

And for laughs - it was me who opened it! 

Thx anyway Joe.

Lmao, classic! 

I had the same error as StepS explains, works fine for me too!