First, go into the windows Start menu, then to the Settings menu, and then the Folder options menu. Click here to see what you should be doing and what your screen should be similar to. After that, you'll be presented with a window like this:

Now go into the File Types tab. This will show the registered file types in a list, and what program they automatically open with. This is what sets up those little icons that are displayed with some files, too. If you look at the example here you can see that Adobe Photoshop Images with the file extension of .psd will open up with Adobe Photoshop.

From here, scroll down untill you find the .skn file or the .cmx file that you messed up the file asociation with. When you find it, highlight it, and the select "Remove". An box will show up asking something like "are you REALLY sure you want to do this?" Yes, you are. This won't erase the files from it, or hurt your computer. It will just take away the file association so that when you double click on it, it won't be automatically opened up with Notepad, or Word Pad or anything else. This will set the files in your game and stuff back to normal, and your problem is fixed. All done!