When you right click at a file icon, you get a menu that shows up like this on the right:

click to enlarge
Within the menu, on the top you see an option to 'Open' or run the file. The 'Run as' only applies to application files, which you can associate the application with a specific Windows user account.
The 'Print' and 'Edit' options are made available only for text or document files and you can also directly convert the file into a archive file with zip, rar, or any other extension of your choice if you have installed any archival software such as WinRar upon your PC.
The next option is 'Send to', that leads you to yet another sub-menu enabling you to compress the file into a zip document through the Windows File Compression Wizard or create a desktop shortcut to the desired file. You can also directly send the file to a floppy drive, your My Documents folder, or to your Email client through this right click sub-menu. Other options in the right click menu are Cut, Copy, Delete, Rename, and 'Create Shortcut' for creating a shortcut to the file.
At the bottom you might see a 'Properties' option, which shows you the contextual vital details about the file. For instance, in case of an image file, it might help you know its exact size in pixels, file format, and its resolution in pixels per inch. While in case of an application file, it will tell you the version number, proprietary information, compatibility details and the digital signatures, if any, attached with the application.