well, i have the game installed but before i have used just 1 portable edition...
It's obvious that your game files (somegame.WAgame) are not associated with W:A .exe file...
Dunno, try it the other way around, go to your User/Games folder, right click on some .WAgame file, "open with" (but make sure that U choose ur installation exe of W:A, not the portable one) and see what happens..
U know that with portable versions of software usually u need to associate files with ur system "manually" by urself...