A pop-up problem when I execute my fla file

Call me crazy, stupid, whatever you want, but here is what happens:

I created a fla file, which contains multi-layer movie clip. When I double-click the the flash movie, something funny is happening - there pops up another window, which is windows explorer, and it is showing the directory oin which the flash movie file is situated. Why? Please help me. And if I close the flash movie and double click it again - another windows explorer pops up.